An empirical comparison of two stochastic volatility models using Indian market data

DOI10.1007/S10690-013-9166-3zbMath1273.91439OpenAlexW1966106753MaRDI QIDQ370874

Swapnil Kumar, Seema Nanda, Srikanth K. Iyer

Publication date: 20 September 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-013-9166-3

zbMATH Keywords

stochastic volatilityoption pricingregime switchingmean revertingrisk minimizing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Dynamic Hedging of Portfolio Credit Derivatives
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
• Risk minimization in stochastic volatility models: model risk and empirical performance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Risk Minimizing Option Pricing in a Regime Switching Market

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