Deterministic versus stochastic volatility: implications for option pricing models
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DOI: 10.1080/096031097333367
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Cited by:
- Kyrtsou, Catherine & Vorlow, Costas, 2009.
"Modelling non-linear comovements between time series,"
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- Catherine Kyrtsou & Costas Vorlow, 2008. "Modelling non-linear comovements between time series," Department of Economics Working Papers 2008_01, Durham University, Department of Economics.
- Zouhaier Dhifaoui, 2022. "Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets," South Asian Journal of Macroeconomics and Public Finance, , vol. 11(1), pages 69-94, June.
- Charlotte S. Hansen & Bjorn E. Tuypens, 2007. "Spanning tests for options using principal components methods," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 739-746.
- Hong, Hui & Bian, Zhicun & Chen, Naiwei, 2020. "Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Maria C Mariani & Md Al Masum Bhuiyan & Osei K Tweneboah & Hector Gonzalez-Huizar & Ionut Florescu, 2019. "Volatility Models Applied to Geophysics and High Frequency Financial Market Data," Papers 1901.09145, arXiv.org.
- Sergii Kuchuk-Iatsenko & Yuliya Mishura, 2016. "Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation," Papers 1601.01128, arXiv.org.
- Dai, Min & Tang, Ling & Yue, Xingye, 2016. "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 66-81.
- Vipul Kumar Singh, 2015. "Conjoint Analysis of Option and Volatility Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 258-289, December.
- Mariani, Maria C. & Bhuiyan, Md Al Masum & Tweneboah, Osei K. & Gonzalez-Huizar, Hector & Florescu, Ionut, 2018. "Volatility models applied to geophysics and high frequency financial market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 304-321.
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