Stochastic Volatility Models and Kelvin Waves

Stochastic Volatility Models and Kelvin Waves Stochastic Volatility Models and Kelvin Waves We use stochastic volatility models to describe the evolution of the asset price, its instantaneous volatility, and its realized volatility. In particular, we concentrate on the Stein-Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the … Continue reading Stochastic Volatility Models and Kelvin Waves