VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024919500134zbMath1411.91578arXiv1610.00312OpenAlexW3122352924MaRDI QIDQ5377003

Oliver Pfante, Nils Bertschinger

Publication date: 21 May 2019

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

Full work available at URL: https://arxiv.org/abs/1610.00312

zbMATH Keywords

stochastic volatilityShannon informationgeometric probability theory

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• PRMLT

Cites Work

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