A Review of Stochastic Volatility Processes: Properties and Implications
DIMITRIS PSYCHOYIOS
(Financial Engineering Research Center, Athens University of Economics and Business (AUEB), in Athens, Greece. dpsycho@aueb.gr)
GEORGE SKIADOPOULOS
(Lecturer in the Department of Banking and Financial Management at the University of Piraeus, Greece, an associate research fellow at the Financial Options Research Centre, Warwick Business School, University of Warwick, U.K., and an ADEX research fellow in Financial Engineering at AUEB in Athens, Greece. agskiado@unipi.gr)
PANAYOTIS ALEXAKIS
(Centre for Financial Studies and Research at the University of Athens, Greece. p.alexakis@ase.gr)
348
Abstract
The volatility of a financial asset is an important input for financial decision‐making in the context of asset allocation, option pricing, and risk management. The authors compare and contrast four approaches to stochastic volatility to determine which is most appropriate to each of these various needs.
Citation
PSYCHOYIOS, D., SKIADOPOULOS, G. and ALEXAKIS, P. (2003), "A Review of Stochastic Volatility Processes: Properties and Implications", Journal of Risk Finance, Vol. 4 No. 3, pp. 43-59. https://doi.org/10.1108/eb022965
Publisher
:MCB UP Ltd
Copyright © 2003, MCB UP Limited