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A note on the use of fractional Brownian motion for financial modeling
Rostek, Stefan; Schöbel, Rainer - In: Economic modelling 30 (2013), pp. 30-35
Persistent link: https://www.econbiz.de/10009702270
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Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process
Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216
Persistent link: https://www.econbiz.de/10009703683
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Modeling of the national economies in state-space : a fractional calculus approach
Škovránek, Tomáš; Podlubny, Igor; Petráš, Ivo - In: Economic modelling 29 (2012) 4, pp. 1322-1327
Persistent link: https://www.econbiz.de/10009667366
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Portfolio liquidation with delayed information
Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Economic modelling 126 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014461590
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A fractal version of the Hull-White interest rate model
Hainaut, Donatien - In: Economic modelling 31 (2013), pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
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Warrant pricing under GARCH diffusion model
Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244
Persistent link: https://www.econbiz.de/10009673781
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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Analyses of retirement benefits with options
Lin, Chung-gee; Yang, Wei-ning; Chen, Shu-chuan - In: Economic modelling 36 (2014), pp. 130-135
Persistent link: https://www.econbiz.de/10010412430
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Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75
Persistent link: https://www.econbiz.de/10010360612