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Some recent developments in stochastic volatility modelling

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  • Institut for Matematiske Fag
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.
OriginalsprogEngelsk
TidsskriftQuantitative Finance
Vol/bind2
Nummer1
Sider (fra-til)11-23
ISSN1469-7688
DOI
StatusUdgivet - 2002

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