most citedRobustness and sensitivity analyses for stochastic volatility models under uncertain data structure

6 citations · 6 across the 1 of their papers we have counts for

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1 paper

q-fin.PR2019★ 6 cited

Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure

Jan Pospíšil, Tomáš Sobotka, Philipp Ziegler

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 ana…