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On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility
Energy Economics, 2023Sabri Boubaker
exaly
2011
A natural generalization of the Black–Scholes model is to allow the volatility to be stochastic. This is motivated by the fact that a historical analysis shows that the volatility indeed behaves as if it was stochastic. In this chapter we consider various techniques for solving stochastic volatility models.
openaire +1 more source
A natural generalization of the Black–Scholes model is to allow the volatility to be stochastic. This is motivated by the fact that a historical analysis shows that the volatility indeed behaves as if it was stochastic. In this chapter we consider various techniques for solving stochastic volatility models.
openaire +1 more source
A fractional Black-Scholes model with stochastic volatility and European option pricing
Expert Systems With Applications, 2021Xin-Jiang He, Sha Lin
exaly
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2002Neil Shephard
exaly
Bayesian Analysis of Stochastic Volatility Models
Journal of Business and Economic Statistics, 1994Eric Jacquier, Peter E Rossi
exaly