An application of damped diffusion for modeling volatility dynamics
Year of publication: |
2023
|
---|---|
Authors: | Hung, Mao-Wei ; Ko, Yi-Chen ; Wang, Jr-Yan |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 3, p. 779-809
|
Subject: | constant elasticity variance (CEV) | damping function | linear drift | nonaffine stochastic volatility model | nonlinear drift | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory |
-
Realized Laplace Transforms for estimation of jump diffusive volatility models
Todorov, Viktor, (2010)
-
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor, (2011)
-
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree, (2020)
- More ...
-
Rainbow trend options : valuation and applications
Wang, Jr-Yan, (2017)
-
Loss aversion and the term structure of interest rates
Hung, Mao-Wei, (2011)
-
A lattice model for option pricing under GARCH-jump processes
Lin, Bing-Huei, (2013)
- More ...