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  • Search: subject:"approximating and forecasting volatility"
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Year of publication
Subject
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Non-constant volatility 2 Approximating and forecasting volatility 1 Best linear predictor 1 Black-Scholes formula 1 Black–Scholes formula 1 approximating and forecasting volatility 1 best linear predictor 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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Undetermined 2
Author
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Abramov, Vyacheslav 2 Klebaner, Fima 2
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Asia-Pacific Financial Markets 1 MPRA Paper 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Forecasting and testing a non-constant volatility
Abramov, Vyacheslav; Klebaner, Fima - Volkswirtschaftliche Fakultät, … - 2006
In this paper we study volatility functions. Our main assumption is that the volatility is deterministic or stochastic but driven by a Brownian motion independent of the stock. We propose a forecasting method and check the consistency with option pricing theory. To estimate the unknown...
Persistent link: https://www.econbiz.de/10005836635
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Cover Image
Estimation and Prediction of a Non-Constant Volatility
Abramov, Vyacheslav; Klebaner, Fima - In: Asia-Pacific Financial Markets 14 (2007) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10005727115
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