STOCHASTIC VOLATILITY MODELS AND THEIR APPLICATION TO GERMAN DAX DATA
Keyword(s):
We focus on the stochastic description of the stock price dynamics. Thereby we concentrate on the Heston model and the Hull–White model. We derive the stationary probability density distribution of the variance of both models in the case of zero correlation coefficient. These distributions are used to calculate solutions for the logarithmic returns of the stock price for short time lags. Furthermore we apply the solutions of both models to the German tick-by-tick Dax data [1]. The data are from May 1996 to December 2001. We use the probability density distributions of the logarithmic returns, calculated out of the data, and fit these distributions to the theoretical distributions.
2002 ◽
Vol 206
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pp. 187-190
2018 ◽
Vol 233
(10)
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pp. 2099-2114
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2018 ◽
1998 ◽
Vol 426
(1-3)
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pp. 87-93
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Keyword(s):
1985 ◽
pp. 23-40
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2007 ◽
Vol 54
(8)
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pp. 1953-1962
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