An application of damped diffusion for modeling volatility dynamics
Mao-Wei Hung, Yi-Chen Ko and Jr-Yan Wang
| Year of publication: |
2023
|
|---|---|
| Authors: | Hung, Mao-Wei ; Ko, Yi-Chen ; Wang, Jr-Yan |
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314820