Open AccessRisk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Author(s) -
Rolf Poulsen,
Klaus Reiner SchenkHoppé,
ChristianOliver Ewald
Publication year - 2007
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.964739
Subject(s) - stochastic volatility , econometrics , model risk , volatility (finance) , economics , stochastic modelling , minification , sabr volatility model , computer science , risk management , mathematics , mathematical optimization , finance
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