Some recent developments in stochastic volatility modelling

Ole Barndorff-Nielsen, Elisa Nicolato and Neil Shephard ()

Quantitative Finance, 2002, vol. 2, issue 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.

Date: 2002
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DOI: 10.1088/1469-7688/2/1/301

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