INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS

DOI10.1142/s021952591850025xOpenAlexW2909165290MaRDI QIDQ6203301

Nils Bertschinger, Oliver Pfante

Publication date: 27 March 2024

Published in: Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021952591850025x

zbMATH Keywords

Bayesian analysisstochastic volatilityinformation theory

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Mathematical Theory of Communication
• The Pricing of Options and Corporate Liabilities
• Alternative models for stock price dynamics.
• Full and fast calibration of the Heston stochastic volatility model
• The Heston Model and Its Extensions in Matlab and C#
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
• Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
• Long-Term Memory in Stock Market Prices
• Stochastic volatility as a simple generator of apparent financial power laws and long memory
• Probability distribution of returns in the Heston model with stochastic volatility*
• Theory of Financial Risk and Derivative Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Elements of Information Theory
• Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

This page was built for publication: INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS