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Valuation Equations for Stochastic Volatility Models

✍ Scribed by Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao


Book ID
118203741
Publisher
Society for Industrial and Applied Mathematics
Year
2012
Tongue
English
Weight
366 KB
Volume
3
Category
Article
ISSN
1945-497X

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Gamma stochastic volatility models
✍ Bovas Abraham; N. Balakrishna; Ranjini Sivakumar πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 256 KB

## Abstract This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the e