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Path-Dependent Volatility · Study

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PreprintPath-Dependent Volatility

Julien Guyon2014

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Preprintgreen2014

Path-Dependent Volatility

32 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1998Complete Models with Stochastic Volatility 2013Mimicking an Itô process by a solution of a stochastic differential equation 2011Introduction to Stochastic Volatility Models 2013Nonlinear Option Pricing

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2006Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility modelarticle · 5 shared references 1997An Overview of Value at Riskarticle · 4 shared references 1993Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilitiesarticle · 4 shared references 2003The dynamics of stochastic volatility: evidence from underlying and options marketsarticle · 4 shared references 1997Augmented GARCH (p,q) process and its diffusion limitarticle · 4 shared references 2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernelarticle · 4 shared references

Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2425048

openalex_workW1545551649

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