A Minimal Share Market Model with Stochastic Volatility
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- Platen, Eckhard, 2000.
"Risk premia and financial modelling without measure transformation,"
SFB 373 Discussion Papers
2000,92, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney.
- Robert Elliott & Eckhard Platen, 1999. "Hidden Markov Chain Filtering for Generalised Bessel Processes," Research Paper Series 23, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
Keywordsstochastic volatility; leverage effect; Bessel process; Student t distribution; minimal market model; credit risk;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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