Some recent developments in stochastic volatility modelling

This paper reviews and puts in context some of our recent work on stochastic volatility modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and stochastic volatility, (ii) OU based volatility models, (iii) exact option pricing, (iv) realised power variation and realised variance, (v) building multivariate models.

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Year of publication:	2001-12-07
Authors:	Barndorff-Nielsen, Ole E. ; Nicolato, Elisa ; Shephard, Neil
Institutions:	Economics Group, Nuffield College, University of Oxford

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2001-W25 23 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730331