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Testing CEV stochastic volatility models using implied volatility index data

  • Published:2018-06 Issue: Volume:499 Page:224-232
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Kim Jungmu,Park Yuen Jung,Ryu Doojin

Funder

2016 Yeungnam University Research Grant

Hallym University Research Fund

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference24 articles.

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