Some recent developments in stochastic volatility modelling
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چکیده
This paper reviews and puts in context some of our recent work on stochastic volatility modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and stochastic volatility, (ii) OU based volatility models, (iii) exact option pricing, (iv) realised power variation and realised variance, (v) building multivariate models.
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تاریخ انتشار 2001