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~person:"Papanicolaou, George"
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Papanicolaou, George
Gil-Alaña, Luis A.
21
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1
Risk Control of Mean-Reversion Time in Statistical Arbitrage
Yeo, Joongyeub
-
2018
selections and screenings. Realizing that each residual has a different mean-reversion time, the ones that are fast
mean-reverting
…
Persistent link: https://www.econbiz.de/10012935241
Saved in:
2
Limit order trading with a
mean
reverting
reference price
Ahuja, Saran
;
Papanicolaou, George
;
Ren, Weiluo
;
Yang, …
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 121-136
Persistent link: https://www.econbiz.de/10011743827
Saved in:
3
Maturity cycles in implied volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, Ronnie
; …
- In:
Finance and Stochastics
8
(
2004
)
4
,
pp. 451-477
volatility surface using the asymptotic pricing theory under fast
mean-reverting
stochastic volatility described in [8]. The time …
Persistent link: https://www.econbiz.de/10005759604
Saved in:
4
From the implied volatility skew to a robust correction to Black-Scholes American option prices
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
4
(
2001
)
4
,
pp. 651-675
Persistent link: https://www.econbiz.de/10001600370
Saved in:
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