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Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models
Barndorff-Nielsen, Ole E., (2000)
Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
Gallant, A. Ronald, (1999)
Asymptotics for linear processes
Phillips, Peter C. B., (1989)
The interpolation of options
Mykland, Per A., (2003)
Combining statistical intervals and market prices : The worst case state price distribution
Mykland, Per A., (2019)
Option pricing bounds and statistical uncertainty : using econometrics to find an exit strategy in derivatives trading
Mykland, Per A., (2010)