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- Stochastic_volatility abstract "Stochastic volatility models are those in which the variance of a stochastic process is itself randomly distributed. They are used in the field of mathematical finance to evaluate derivative securities, such as options. The name derives from the models' treatment of the underlying security's volatility as a random process, governed by state variables such as the price level of the underlying security, the tendency of volatility to revert to some long-run mean value, and the variance of the volatility process itself, among others.Stochastic volatility models are one approach to resolve a shortcoming of the Black–Scholes model. In particular, these models assume that the underlying volatility is constant over the life of the derivative, and unaffected by the changes in the price level of the underlying security. However, these models cannot explain long-observed features of the implied volatility surface such as volatility smile and skew, which indicate that implied volatility does tend to vary with respect to strike price and expiry. By assuming that the volatility of the underlying price is a stochastic process rather than a constant, it becomes possible to model derivatives more accurately.".
- Stochastic_volatility wikiPageExternalLink abstract=982221.
- Stochastic_volatility wikiPageExternalLink s?platform=gurupa&url=index%3Dblended&keywords=inside+volatility+arbitrage.
- Stochastic_volatility wikiPageExternalLink Heston-original.pdf.
- Stochastic_volatility wikiPageExternalLink bookcpdf.html.
- Stochastic_volatility wikiPageExternalLink detail.cfm?articleID=245.
- Stochastic_volatility wikiPageID "5740025".
- Stochastic_volatility wikiPageRevisionID "604537354".
- Stochastic_volatility hasPhotoCollection Stochastic_volatility.
- Stochastic_volatility subject Category:Derivatives_(finance).
- Stochastic_volatility subject Category:Mathematical_finance.
- Stochastic_volatility subject Category:Options_(finance).
- Stochastic_volatility type Abstraction100002137.
- Stochastic_volatility type Communication100033020.
- Stochastic_volatility type DerivativeInstrument106480506.
- Stochastic_volatility type Document106470073.
- Stochastic_volatility type LegalDocument106479665.
- Stochastic_volatility type Option113241600.
- Stochastic_volatility type Options.
- Stochastic_volatility type Writing106362953.
- Stochastic_volatility type WrittenCommunication106349220.
- Stochastic_volatility comment "Stochastic volatility models are those in which the variance of a stochastic process is itself randomly distributed. They are used in the field of mathematical finance to evaluate derivative securities, such as options.".
- Stochastic_volatility label "Stochastic volatility".
- Stochastic_volatility label "Volatilidade estocática".
- Stochastic_volatility label "Volatilité stochastique".
- Stochastic_volatility label "確率的ボラティリティモデル".
- Stochastic_volatility sameAs Volatilité_stochastique.
- Stochastic_volatility sameAs 確率的ボラティリティモデル.
- Stochastic_volatility sameAs Volatilidade_estocática.
- Stochastic_volatility sameAs m.0f24cq.
- Stochastic_volatility sameAs Q596307.
- Stochastic_volatility sameAs Q596307.
- Stochastic_volatility sameAs Stochastic_volatility.
- Stochastic_volatility wasDerivedFrom Stochastic_volatility?oldid=604537354.
- Stochastic_volatility isPrimaryTopicOf Stochastic_volatility.