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Common‐factor stochastic volatility modelling with observable proxy - MaRDI portal

Common‐factor stochastic volatility modelling with observable proxy

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Publication:5107619

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DOI10.1002/CJS.11536zbMATH Open1492.62165OpenAlexW3004135729MaRDI QIDQ5107619

Donald L. McLeish, Martin Lysy, Yizhou Fang

Publication date: 28 April 2020

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11536

zbMATH Keywords

stochastic volatility option pricing volatility proxy common volatility factor multi-asset modelling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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