Option pricing under stochastic volatility models with latent volatility-Reference-Cited by-同舟云学术

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Option pricing under stochastic volatility models with latent volatility

Published:2023-06-13 Issue:7-8 Volume:23 Page:1079-1097
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bégin Jean-François¹^ORCID,Godin Frédéric²^ORCID

Affiliation:

1. Department of Statistics and Actuarial Science, Simon Fraser University, 8888 University Drive, Burnaby, British Columbia V5A 1S6, Canada

2. Department of Mathematics and Statistics, Concordia University, 1455 De Maisonneuve Boulevard West, Montréal, Quebec H3G 1M8, Canada

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2215496

Reference76 articles.

1. The Informational Content of High-Frequency Option Prices

2. Parametric Inference and Dynamic State Recovery From Option Panels

3. Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options

4. Non-Gaussian GARCH option pricing models and their diffusion limits

5. Stochastic Volatility Option Pricing

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