Testing the local volatility assumption : a statistical approach
Mark Podolskij; Mathieu Rosenbaum
| Year of publication: |
2012
|
|---|---|
| Authors: | Podolskij, Mark ; Rosenbaum, Mathieu |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 8.2012, 1, p. 31-48
|
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Statistische Methode | Statistical method | Modellierung | Scientific modelling | Martingal | Martingale |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009510584