The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Stock Price Distributions with Stochastic Volatility: An Analytic Approach
Abstract
We study the stock price distributions that arise when prices follow a diffusion process with a stochastically varying volatility parameter. We use analytic techniques to derive an explicit closed-form solution for the case where volatility is driven by an arithmetic Ornstein–Uhlenbeck (or AR1) process. We then apply our results to two related problems in the finance literature: (i) options pricing in a world of stochastic volatility, and (ii) the relationship between stochastic volatility and the nature of “fat tails” in stock price distributions.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Empirical Performance of Alternative Option Pricing Models
Bakshi, G., Cao, C., & Chen, Z. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02749.x · Cited by 2,707
Option Prices, Implied Price Processes, and Stochastic Volatility
Britten‐Jones, M., & Neuberger, A. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00228 · Cited by 937
Maximum likelihood estimation of stochastic volatility models
Aït-Sahalia, Y., & Kimmel, R. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.10.006 · Cited by 538
Predicting stock market volatility: A new measure
Fleming, J., Ostdiek, B., & Whaley, R. E. (1995) · Journal of Futures Markets · doi:10.1002/fut.3990150303 · Cited by 537
Of Smiles and Smirks: A Term Structure Perspective
Das, S. R., & Sundaram, R. K. (1999) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676279 · Cited by 369
Metadata
- Authors
- Stein, E. M., & Stein, J. C.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1991-10
- Volume
- 4
- Issue
- 4
- Pages
- 727-752
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2094206697
- Cited by
- 1,507
- References
- 2
- FWCI
- 8.74
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
