Trading intensity, volatility, and arbitrage activity
Year of publication: |
2004
|
---|---|
Authors: | Taylor, Nicholas |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 28.2004, 5, p. 1137-1162
|
Subject: | Derivat | Derivative | Volatilität | Volatility | Arbitrage Pricing | Arbitrage pricing |
-
Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris, (1997)
-
Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl, (2010)
-
Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model
Bertsimas, Dimitris, (1997)
- More ...
-
Supporting Social Protection Systems
Samson, Michael J., (2015)
-
Time-varying price discovery in fragmented markets
Taylor, Nicholas, (2011)
-
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market
Taylor, Nicholas, (2004)
- More ...