Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
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DOI: 10.1007/s00181-018-1535-3
Abstract: In this paper, we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the jump… read more here.
Keywords: sensitivity; stochastic volatility; robustness sensitivity; volatility models ... See more keywords