Maximum likelihood approach for several stochastic volatility models
暂无分享,去创建一个
[1] G. Bormetti,et al. Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model , 2009, 0905.1882.
[2] Jaume Masoliver,et al. A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS , 2001 .
[3] A comparison between several correlated stochastic volatility models , 2003, cond-mat/0312121.
[4] Alan G. White,et al. The Pricing of Options on Assets with Stochastic Volatilities , 1987 .
[5] Extreme Times for Volatility Processes , 2007, Physical review. E, Statistical, nonlinear, and soft matter physics.
[6] J. Masoliver,et al. Random diffusion and leverage effect in financial markets. , 2003, Physical review. E, Statistical, nonlinear, and soft matter physics.
[7] N. Shephard,et al. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics , 2001 .
[8] V. Yakovenko,et al. Probability distribution of returns in the Heston model with stochastic volatility , 2002, cond-mat/0203046.
[9] Ronnie Sircar,et al. Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model , 2008, 0804.2589.
[10] J. Masoliver,et al. Scaling properties and universality of first-passage-time probabilities in financial markets. , 2011, Physical review. E, Statistical, nonlinear, and soft matter physics.
[11] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[12] Giacomo Bormetti,et al. A generalized Fourier transform approach to risk measures , 2009, 0909.3978.
[13] P. Cizeau,et al. Statistical properties of the volatility of price fluctuations. , 1999, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.
[14] J. Bouchaud,et al. Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management , 2011 .
[15] Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study , 2006, physics/0608299.
[16] N. Shephard,et al. Econometric analysis of realized volatility and its use in estimating stochastic volatility models , 2002 .
[17] C. Klüppelberg,et al. Modelling Extremal Events , 1997 .
[18] L. Bauwens,et al. Volatility models , 2011 .
[19] R. Cont. Empirical properties of asset returns: stylized facts and statistical issues , 2001 .
[20] Louis O. Scott. Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application , 1987, Journal of Financial and Quantitative Analysis.
[21] Volatility: A Hidden Markov Process in Financial Time Series , 2007, Physical review. E, Statistical, nonlinear, and soft matter physics.
[22] Viktor Todorov,et al. Estimation of continuous-time stochastic volatility models with jumps using high-frequency data , 2009 .
[23] W. Coffey,et al. Diffusion and Reactions in Fractals and Disordered Systems , 2002 .
[24] A. Harvey,et al. 5 Stochastic volatility , 1996 .
[25] F. Comte,et al. Penalized Projection Estimator for Volatility Density , 2006 .
[26] D. Sornette,et al. Generic multifractality in exponentials of long memory processes. , 2006, Physical review. E, Statistical, nonlinear, and soft matter physics.
[27] E. Bacry,et al. Multifractal random walk. , 2000, Physical review. E, Statistical, nonlinear, and soft matter physics.
[28] Giacomo Bormetti,et al. Minimal model of financial stylized facts. , 2010, Physical review. E, Statistical, nonlinear, and soft matter physics.
[29] G. Jongbloed,et al. Parametric Estimation for Subordinators and Induced OU Processes , 2006 .
[30] James B. Wiggins. Option values under stochastic volatility: Theory and empirical estimates , 1987 .
[31] G. Bormetti,et al. The probability distribution of returns in the exponential Ornstein–Uhlenbeck model , 2008, 0805.0540.
[32] E. Stein,et al. Stock Price Distributions with Stochastic Volatility: An Analytic Approach , 1991 .
[33] Michael McAleer,et al. Modelling and Forecasting Noisy Realized Volatility , 2009, Comput. Stat. Data Anal..
[34] Josep Perelló,et al. Multiple Time Scales and the Exponential Ornstein-Uhlenbeck Stochastic Volatility Model , 2005 .
[35] E. Barucci,et al. On measuring volatility of diffusion processes with high frequency data , 2002 .
[36] M. Steel,et al. Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility , 2006 .
[37] M. Osborne. Brownian Motion in the Stock Market , 1959 .
[38] Laurent E. Calvet,et al. Multifractality in Asset Returns: Theory and Evidence , 2002, Review of Economics and Statistics.
[39] J. Masoliver,et al. First-passage and risk evaluation under stochastic volatility. , 2009, Physical review. E, Statistical, nonlinear, and soft matter physics.