Mean-Reverting Stochastic Volatility

Citations

Cited by:

1. Kim, Hyun-Gyoon & Kim, Jeong-Hoon, 2023. "A stochastic-local volatility model with Le´vy jumps for pricing derivatives," Applied Mathematics and Computation, Elsevier, vol. 451(C).
2. Jean-Pierre Fouque & Sebastian Jaimungal & Yuri F. Saporito, 2021. "Optimal Trading with Signals and Stochastic Price Impact," Papers 2101.10053, arXiv.org, revised Aug 2023.
3. Kim, Donghyun & Choi, Sun-Yong & Yoon, Ji-Hun, 2021. "Pricing of vulnerable options under hybrid stochastic and local volatility," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
4. Zhenyu Cui & J. Lars Kirkby & Guanghua Lian & Duy Nguyen, 2017. "Integral Representation Of Probability Density Of Stochastic Volatility Models And Timer Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
5. Chuo Chang, 2020. "Dynamic correlations and distributions of stock returns on China's stock markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(1), pages 1-6.
6. Nils Bertschinger & Oliver Pfante, 2015. "Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach," Papers 1512.08381, arXiv.org.
7. Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," Papers 2412.14353, arXiv.org.
   • Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," CEIS Research Paper 589, Tor Vergata University, CEIS, revised 20 Dec 2024.
8. Alexander Lykov & Stepan Muzychka & Kirill Vaninsky, 2016. "Investor'S Sentiment In Multi-Agent Model Of The Continuous Double Auction," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-29, September.
9. Donghyun Kim & Mijin Ha & Sun-Yong Choi & Ji-Hun Yoon, 2025. "Pricing of Vulnerable Timer Options," Computational Economics, Springer;Society for Computational Economics, vol. 65(2), pages 989-1014, February.
10. Martin Tegnér & Rolf Poulsen, 2018. "Volatility Is Log-Normal—But Not for the Reason You Think," Risks, MDPI, vol. 6(2), pages 1-16, April.
11. Frezza, Massimiliano & Bianchi, Sergio & Pianese, Augusto, 2021. "Fractal analysis of market (in)efficiency during the COVID-19," Finance Research Letters, Elsevier, vol. 38(C).
12. Gordon R. Richards, 2004. "A fractal forecasting model for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 586-601.
13. Alibeiki, Hedayat & Lotfaliei, Babak, 2022. "To expand and to abandon: Real options under asset variance risk premium," European Journal of Operational Research, Elsevier, vol. 300(2), pages 771-787.
14. Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2016. "Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 379-398, October.
    • Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2014. "An Evolving Fuzzy-Garch Approach Forfinancial Volatility Modeling And Forecasting," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
15. Weixuan Xia, 2023. "Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences," Papers 2312.00266, arXiv.org, revised Jan 2025.
16. Maxim Bichuch & Jean-Pierre Fouque, 2019. "Optimal Investment with Correlated Stochastic Volatility Factors," Papers 1908.07626, arXiv.org, revised Nov 2022.
17. Rebonato, Riccardo & Ronzani, Riccardo, 2021. "Is convexity efficiently priced? Evidence from international swap markets," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 392-413.
18. Kim, Hyun-Gyoon & Kim, See-Woo & Kim, Jeong-Hoon, 2024. "Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
19. Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004. "A comparison between several correlated stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 134-137.
    • Josep Perello & Jaume Masoliver & Napoleon Anento, 2003. "A comparison between several correlated stochastic volatility models," Papers cond-mat/0312121, arXiv.org.
20. Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
21. Yipeng Yang & Allanus Tsoi, 2013. "Prospect Agents and the Feedback Effect on Price Fluctuations," Papers 1308.6759, arXiv.org, revised Jan 2014.
22. Hongshan Li & Zhongyi Huang, 2020. "An iterative splitting method for pricing European options under the Heston model," Papers 2003.12934, arXiv.org.
23. Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. "An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 87-117.
24. Lee, Min-Ku, 2016. "Asymptotic approach to the pricing of geometric asian options under the CEV model," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 544-548.
25. Liu, Chang & Chang, Chuo, 2021. "Combination of transition probability distribution and stable Lorentz distribution in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
26. Kim, Donghyun & Ha, Mijin & Kim, Jeong-Hoon & Yoon, Ji-Hun, 2024. "A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).