Some recent developments in stochastic volatility modelling

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

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Year of publication:	2002
Authors:	Barndorff-Nielsen, Ole ; Nicolato, Elisa ; Shephard, Neil
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 2.2002, 1, p. 11-23
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009215115