The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Luca Vincenzo Ballestra; Roberto Ferri; Graziella Pacelli
| Year of publication: |
2007
|
|---|---|
| Authors: | Ballestra, Luca Vincenzo ; Ferri, Roberto ; Pacelli, Graziella |
| Published in: |
The international journal of business and finance research : IJBFR. - Hilo, Hawaii : IBFR, ISSN 1931-0269, ZDB-ID 2536566-6. - Vol. 1.2007, 2, p. 11-23
|
| Subject: | Finanzmarkt | Financial market | Volatilität | Volatility | Italien | Italy | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003955535