COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA

DOI10.1142/S0219024910005991zbMath1233.91334OpenAlexW3123988666MaRDI QIDQ2786036

Maria Elvira Mancino, Emilio Basrucci

Publication date: 16 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005991

zbMATH Keywords

stochastic volatilityFourier analysisvolatility of volatilityleverage component

Mathematics Subject Classification ID

Related Items (11)

Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models ⋮ Dirichlet Forms and Finite Element Methods for the SABR Model ⋮ Monte Carlo calibration to implied volatility surface under volatility models ⋮ High-frequency volatility of volatility estimation free from spot volatility estimates ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ Fourier transform methods for pathwise covariance estimation in the presence of jumps ⋮ Estimation of the stochastic leverage effect using the Fourier transform method ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity ⋮ VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS ⋮ Short-time near-the-money skew in rough fractional volatility models ⋮ Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data

Cites Work

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