Deterministic volatility models and dynamics of option returns

DOI10.14495/JSIAML.3.57zbMath1271.91103OpenAlexW2078424292MaRDI QIDQ2843181

Koichi Miyazaki, Takahiro Yamamoto

Publication date: 9 August 2013

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=3_0_57&screenID=AF06S010&noVol=3&noIssue=0

zbMATH Keywords

pricing kernelcross-sectional option returnsdeterministic volatility mode

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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