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Efficient estimation of drift parameters in stochastic volatility models · Study

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ArticleEfficient estimation of drift parameters in stochastic volatility models

Arnaud Gloter2007

Article2007

Efficient estimation of drift parameters in stochastic volatility models

18 citations·0/0 files stored·Finance and Stochastics

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

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References

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 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005A Tale of Two Time Scales 19965 Stochastic volatility 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 1987Option values under stochastic volatility: Theory and empirical estimates

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Year2007

Typearticle

Published2007-08-07

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-007-0048-2

openalex_workW2011551464

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