Estimating stochastic volatility under the assumption of stochastic volatility of volatility
Year of publication: |
2020
|
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Authors: | Alghalith, Moawia ; Floros, Christos ; Gillas, Konstantinos Gkillas |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 2/35, p. 1-16
|
Subject: | nonparametric estimators | stochastic volatility | stochastic volatility of volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8020035 [DOI] hdl:10419/257990 [Handle] |
Classification: | C0 - Mathematical and Quantitative Methods. General ; G0 - Financial Economics. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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