Stochastic volatility and the goodness-of-fit of the Heston model
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Publication:5697327
DOI10.1080/14697680500148521zbMath1118.91319OpenAlexW1990319236MaRDI QIDQ5697327
Nathan Lael Joseph, David S. Brée, Gilles Daniel
Publication date: 17 October 2005
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500148521
Related Items (7)
On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis ⋮ Lookback options and dynamic fund protection under multiscale stochastic volatility ⋮ Pricing forward-start variance swaps with stochastic volatility ⋮ Conditioning diffusions with respect to incomplete observations ⋮ On the valuation of variance swaps with stochastic volatility ⋮ A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY ⋮ On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Volatility in financial markets: Stochastic models and empirical results
- Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
- Financial Data and the Skewed Generalized T Distribution
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- THE DISTRIBUTION OF PROBLEM-SOLVING TIMES: AN EXAMINATION OF THE STAGES MODEL
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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