Alhagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2020) Discussions on continuous stochastic volatility models. Global and Stochastic Analysis, 7 (1). pp. 55-64. ISSN 22489444

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Abstract

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.

Item Type:	Article
Subjects:	Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions:	School of Quantitative Sciences
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	25 Nov 2020 00:58
Last Modified:	25 Nov 2020 00:58
URI:	https://repo.uum.edu.my/id/eprint/27913

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