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Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling
Masuda, Hiroki - In: Annals of the Institute of Statistical Mathematics : AISM 61 (2009) 1, pp. 181-196
Persistent link: https://www.econbiz.de/10008173292
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OPTIMAL WEIGHT FOR REALIZED VARIANCE BASED ON INTERMITTENT HIGH‐FREQUENCY DATA*
MASUDA, HIROKI; MORIMOTO, TAKAYUKI - In: The Japanese economic review : the journal of the … 63 (2012) 4, pp. 497-527
Persistent link: https://www.econbiz.de/10010047307
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Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
Kawai, Reiichiro; Takeuchi, Atsushi - In: Quantitative finance 13 (2013) 8, pp. 1303-1316
Persistent link: https://www.econbiz.de/10010148522
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GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
Kawai, Reiichiro; Takeuchi, Atsushi - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 723-743
Persistent link: https://www.econbiz.de/10009258248
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Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 4, pp. 301-322
Persistent link: https://www.econbiz.de/10008443441