Some recent developments in stochastic volatility modelling
Authors:
- Ole E Barndorff-NielsenOBOle E Barndorff-Nielsen
- Neil ShephardNSNeil Shephard
- 1 February 2002
- journal article
- Published by Taylor & Francis in Quantitative Finance
- Vol. 2 (1) , 11-23
Abstract
This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation and realized variance, (v) building multivariate models.Keywords
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