Search Results - "Stochastic volatility"

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  1. 1
    Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

    Consistent nonparametric specification tests for stochastic volatility models based on the return distribution by Zu, Yang, Boswijk, Peter

    Published 2017
    Subjects: “…Nonparametric test; Stochastic volatility models…”
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  2. 2
    Nonparametric specification tests for stochastic volatility models based on volatility density

    Nonparametric specification tests for stochastic volatility models based on volatility density by Zu, Yang

    Published 2015
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  3. 3
    Option pricing via maximization over uncertainty and correction of volatility smile

    Option pricing via maximization over uncertainty and correction of volatility smile by Dokuchaev, Nikolai

    Published 2011
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  4. 4
    The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis

    The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis by Müller, G., Durand, Robert, Maller, R.

    Published 2011
    Subjects: Get full text
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  5. 5
    Option pricing under stochastic environment of volatility and market price of risk

    Option pricing under stochastic environment of volatility and market price of risk by Phewchean, N, Wu, Yong Hong, Lenbury, Y

    Published 2013
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  6. 6
    Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework

    Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework by Zhang, Y., Wu, Yong, Wiwatanapataphee, Benchawan, Angkola, Francisca

    Published 2020
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