Volatility in financial markets: stochastic models and empirical results
- 1 November 2002
- journal article
- Published by Elsevier in Physica A: Statistical Mechanics and its Applications
- Vol. 314 (1-4) , 756-761
- https://doi.org/10.1016/s0378-4371(02)01187-1
Abstract
No abstract availableKeywords
All Related Versions
This publication has 7 references indexed in Scilit:
- Power laws in economics and finance: some ideas from physicsQuantitative Finance, 2001
- Statistical properties of the volatility of price fluctuationsPhysical Review E, 1999
- Multiscaling and clustering of volatilityPhysica A: Statistical Mechanics and its Applications, 1999
- Volatility distribution in the S&P500 stock indexPhysica A: Statistical Mechanics and its Applications, 1997
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- The Pricing of Options on Assets with Stochastic VolatilitiesThe Journal of Finance, 1987
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973