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Is violation of the random walk assumption an exception or a rule in capital markets?

Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501

Persistent link: https://www.econbiz.de/10012485200

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data

Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279

Persistent link: https://www.econbiz.de/10011808179

Predictability of Turkish foreign exchange and its implications to option pricing and arbitrage opportunities

Horasanlı, Mehmet - In: Central Bank review / The Central Bank of the Republic … 6 (2006) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10003506918

Fractal characteristics of world market commodity derivatives

Oksana, Mykhailovska - In: Revista română de economie 38 (2014) 1, pp. 36-48

Persistent link: https://www.econbiz.de/10010518941

The inefficiency of Bitcoin revisited : a dynamic approach

Bariviera, Aurelio Fernández - In: Economics letters 161 (2017), pp. 1-4

Persistent link: https://www.econbiz.de/10011903819

Why the long-term auto-correlation has not been eliminated by arbitragers : evidences from NYMEX

Li, Daye; Nishimura, Yusaku; Men, Ming - In: Energy economics 59 (2016), pp. 167-178

Persistent link: https://www.econbiz.de/10011699528

Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

Flint, Emlyn; Maré, Eben - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10011773296

Option pricing under fast-varying and rough stochastic volatility

Garnier, Josselin; Sølna, Knut - In: Annals of finance 14 (2018) 4, pp. 489-516

Persistent link: https://www.econbiz.de/10012268319

Stock market portfolio construction : a four-stage model based on Fractal analysis

Ghosh, Indranil; Chaudhuri, Tamal D. - In: South Asian journal of management : SAJM 25 (2018) 4, pp. 117-149

Persistent link: https://www.econbiz.de/10012011628

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