Browsing by Subject "Stochastic volatility"

Now showing items 1-3 of 3

    • Article  

      Algebraic solution of the Stein-Stein model for stochastic volatility 

      Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (2011)
      We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...
    • Article  

      Nonlinearity of arch and stochastic volatility models and bartlett's formula 

      Kokoszka, P. S.; Politis, Dimitris Nicolas (2011)
      We review some notions of linearity of time series and show that ARCH or stochastic volatility (SV) processes are not only non-linear: they are not even weakly linear, i.e., they do not even have a martingale representation. ...
    • Article  

      Symmetry analysis of a model of stochastic volatility with time-dependent parameters 

      Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (2011)
      We provide the solutions for the Heston model of stochastic volatility when the parameters of the model are constant and when they are functions of time. In the former case, the solution follows immediately from the ...