An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data
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References listed on IDEAS
- Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-752.
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More about this item
KeywordsOption pricing; Stochastic volatility; Mean reverting; Regime switching; Risk minimizing; C02; C90; G13;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C90 - Mathematical and Quantitative Methods - - Design of Experiments - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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