An Asymptotic Estimation of the Coefficients of the Stochastic Volatility Model
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References listed on IDEAS
- Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo, 2002. "Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 225-255, March.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
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Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Renato Vicente & Charles M. de Toledo & Vitor B. P. Leite & Nestor Caticha, 2004. "Common Underlying Dynamics in an Emerging Market: From Minutes to Months," Papers cond-mat/0402185, arXiv.org.
More about this item
Keywordsstochastic volatility model; Fokker-Planck-Kolmogorov equation;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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