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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, models based on Black-Scholes 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 index.html.
- Stochastic_volatility wikiPageExternalLink index.html.
- Stochastic_volatility wikiPageExternalLink index.html.
- Stochastic_volatility wikiPageExternalLink index.html.
- 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.
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- Stochastic_volatility wikiPageWikiLink Autoregressive_conditional_heteroskedasticity.
- Stochastic_volatility wikiPageWikiLink Binomial_options_pricing_model.
- Stochastic_volatility wikiPageWikiLink Black–Scholes_model.
- Stochastic_volatility wikiPageWikiLink Category:Derivatives_(finance).
- Stochastic_volatility wikiPageWikiLink Category:Mathematical_finance.
- Stochastic_volatility wikiPageWikiLink Category:Options_(finance).
- Stochastic_volatility wikiPageWikiLink Chen_model.
- Stochastic_volatility wikiPageWikiLink Correlation_and_dependence.
- Stochastic_volatility wikiPageWikiLink Derivative_(finance).
- Stochastic_volatility wikiPageWikiLink Directed_set.
- Stochastic_volatility wikiPageWikiLink Geometric_Brownian_motion.
- Stochastic_volatility wikiPageWikiLink Heston_model.
- Stochastic_volatility wikiPageWikiLink Local_volatility.
- Stochastic_volatility wikiPageWikiLink Markov_switching_multifractal.
- Stochastic_volatility wikiPageWikiLink Mathematical_finance.
- Stochastic_volatility wikiPageWikiLink Maximum_likelihood.
- Stochastic_volatility wikiPageWikiLink Mean.
- Stochastic_volatility wikiPageWikiLink Option_(finance).
- Stochastic_volatility wikiPageWikiLink R_(programming_language).
- Stochastic_volatility wikiPageWikiLink Realized_volatility.
- Stochastic_volatility wikiPageWikiLink Risk-neutral_measure.
- Stochastic_volatility wikiPageWikiLink SABR_volatility_model.
- Stochastic_volatility wikiPageWikiLink Security.
- Stochastic_volatility wikiPageWikiLink Security_(finance).
- Stochastic_volatility wikiPageWikiLink State_variable.
- Stochastic_volatility wikiPageWikiLink Stochastic_differential_equation.
- Stochastic_volatility wikiPageWikiLink Stochastic_process.
- Stochastic_volatility wikiPageWikiLink Strike_price.
- Stochastic_volatility wikiPageWikiLink Subordinator_(mathematics).
- Stochastic_volatility wikiPageWikiLink Variance.
- Stochastic_volatility wikiPageWikiLink Volatility,_uncertainty,_complexity_and_ambiguity.
- Stochastic_volatility wikiPageWikiLink Volatility_(finance).
- Stochastic_volatility wikiPageWikiLink Volatility_smile.
- Stochastic_volatility wikiPageWikiLink Wiener_process.
- Stochastic_volatility wikiPageWikiLinkText "Stochastic volatility".
- Stochastic_volatility wikiPageWikiLinkText "Volatility".
- Stochastic_volatility wikiPageWikiLinkText "random volatility".
- Stochastic_volatility wikiPageWikiLinkText "stochastic volatility".
- Stochastic_volatility wikiPageWikiLinkText "stochastically".
- Stochastic_volatility wikiPageWikiLinkText "volatility models".
- Stochastic_volatility wikiPageUsesTemplate Template:Cite_book.
- Stochastic_volatility wikiPageUsesTemplate Template:Derivatives_market.
- Stochastic_volatility wikiPageUsesTemplate Template:Hatnote.
- Stochastic_volatility wikiPageUsesTemplate Template:Main.
- Stochastic_volatility wikiPageUsesTemplate Template:Reflist.
- Stochastic_volatility wikiPageUsesTemplate Template:Volatility.
- Stochastic_volatility subject Category:Derivatives_(finance).
- Stochastic_volatility subject Category:Mathematical_finance.
- Stochastic_volatility subject Category:Options_(finance).
- Stochastic_volatility type Field.
- Stochastic_volatility type Market.
- Stochastic_volatility type Occupation.
- Stochastic_volatility type Redirect.
- 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 sameAs Q596307.
- 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 wasDerivedFrom Stochastic_volatility?oldid=701633647.
- Stochastic_volatility isPrimaryTopicOf Stochastic_volatility.