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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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Evolution of multivariate copulas in continuous and discrete processes
Yoshizawa, Yasukazu; Ishimura, Naoyuki - In: Intelligent systems in accounting finance and … 25 (2018) 1, pp. 44-59
Persistent link: https://www.econbiz.de/10011890511
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The limit of stationary distributions of many-server queues in the Halfin-Whitt regime
Aghajani, Reza; Ramanan, Kavita - In: Mathematics of operations research 45 (2020) 3, pp. 1016-1055
Persistent link: https://www.econbiz.de/10012293367
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A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan; Lindsay, Kenneth A.; Xu, Lina - In: Journal of financial econometrics 21 (2023) 3, pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
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Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
Gallant, A. Ronald; Hsu, Chiente; Tauchen, George Eugene - In: The review of economics and statistics 81 (1999) 4, pp. 617-631
Persistent link: https://www.econbiz.de/10001437376
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Binomial trees as dynamical systems
Galeeva, Roza - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 569-570
Persistent link: https://www.econbiz.de/10001524423
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The generalized hyperbolic model : financial derivatives and risk measures
Eberlein, Ernst; Prause, Karsten - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 245-267). 2002
Persistent link: https://www.econbiz.de/10001679450
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Selected infinitely divisible distributions as models for financial return data - unconditional fit and option pricing
Fischer, Matthias - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001679700
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178