Performance of the Heston's stochastic volatility model : a study in Indian index options market
Shivam Singh, Alok Dixit
| Year of publication: |
April 2016
|
|---|---|
| Authors: | Singh, Shivam ; Dixit, Alok |
| Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 6.2016, 2, p. 151-165
|
| Subject: | Black-Scholes | Heston | Stochastic Volatility | Two Scale Realized Volatility | Tick-by-Tick Data | Indian Options Market | Volatilität | Volatility | Indien | India | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Index-Futures | Index futures | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/tel.2016.62018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011545451