Singular diffusions, constant elasticity of variance processes and logarithmic rates of return
Siqi Liu, Adrian Melia, Xiaojing Song and Mark Tippett
| Year of publication: |
2020
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|---|---|
| Authors: | Liu, Siqi ; Melia, Adrian ; Song, Xiaojing ; Tippett, Mark |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 9, p. 837-853
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| Subject: | Constant elasticity of variance (CEV) | group invariance | Kolmogorov equation | logarithmic return | singular diffusion process | Stochastischer Prozess | Stochastic process | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Elastizität | Elasticity | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2019.1709526 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012207313