On the estimation of non linear functions in stochastic volatility models

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2019.1635700 ◽

2019 ◽

pp. 1-13

Author(s):

Giuseppina Albano ◽

Francesco Giordano ◽

Cira Perna

Keyword(s):

Stochastic Volatility ◽

Linear Functions ◽

Stochastic Volatility Models ◽

Volatility Models ◽

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Realized Non-linear Stochastic Volatility Models with Asymmetric Effects and Generalized Student's t-Distributions

JOURNAL OF THE JAPAN STATISTICAL SOCIETY ◽

10.14490/jjss.44.83 ◽

2014 ◽

Vol 44 (1) ◽

pp. 83-118 ◽

Author(s):

Didit Budi Nugroho ◽

Takayuki Morimoto

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Asymmetric Effects ◽

Volatility Models ◽

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Non-linear filtering and optimal investment under partial information for stochastic volatility models

Mathematical Methods of Operations Research ◽

10.1007/s00186-017-0609-x ◽

2018 ◽

Vol 87 (3) ◽

pp. 311-346

Author(s):

Dalia Ibrahim ◽

Frédéric Abergel

Keyword(s):

Stochastic Volatility ◽

Partial Information ◽

Optimal Investment ◽

Linear Filtering ◽

Stochastic Volatility Models ◽

Volatility Models ◽

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On the use of non-linear transformations in Stochastic Volatility models

Statistical Methods & Applications ◽

10.1007/s10260-008-0113-9 ◽

2009 ◽

Vol 18 (4) ◽

pp. 555-583 ◽

Author(s):

Georgios Tsiotas

Keyword(s):

Stochastic Volatility ◽

Linear Transformations ◽

Stochastic Volatility Models ◽

Volatility Models ◽

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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns

Journal of Applied Econometrics ◽

10.1002/(sici)1099-1255(199903/04)14:2<101::aid-jae499>3.0.co;2-a ◽

1999 ◽

Vol 14 (2) ◽

pp. 101-121 ◽

Author(s):

Toshiaki Watanabe

Keyword(s):

Stock Returns ◽

Stochastic Volatility ◽

Linear Filtering ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Daily Stock Returns ◽

Filtering Approach

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

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Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

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Computing Journal: Stochastic-volatility Models with Optional Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

Author(s):

Anna Pretre ◽

Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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