Discussions on continuous stochastic volatility models
Stochastic volatility (SV) models are substantial for financial markets and decision making because they can capture the effect of time varying volatility. There are two ways to describe SV; in discrete time setting and continuous time setting. Since the intuitive setting for market trading is norma...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MUK PUBLICATIONS
2020
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/27913/1/GSA%207%201%202020%2055%2064.pdf http://repo.uum.edu.my/27913/ https://www.mukpublications.com/gsa-7-1-2020.php |
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| Institution: | Universiti Utara Malaysia |
| Language: | English |
| Summary: | Stochastic volatility (SV) models are substantial for financial markets and decision making because they can capture the effect of time varying volatility. There are two ways to describe SV; in discrete time setting and continuous time setting. Since the intuitive setting for market trading is normally continuous, it is natural to focus on studying a continuous time setting in a financial environment. In this paper, we review and discuss the
most important financial models of continuous stochastic volatility via highlight the advantages and the disadvantages of each one. |
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