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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

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

The joint density of two functionals of a Brownian motion

Abadir, Karim Maher - 1994

Persistent link: https://www.econbiz.de/10000895295

Disentangling volatility from jumps

Aït-Sahalia, Yacine - 2003

Persistent link: https://www.econbiz.de/10001790835

Heavy tails in finance for independent or multifractal price increments

Mandelbrot, Benoît B. - In: Handbook of heavy tailed distributions in finance, (pp. 1-34). 2003

Persistent link: https://www.econbiz.de/10001881998

Hyperbolic process in finance

Bibby, Bo Martin; Sørensen, Michael - In: Handbook of heavy tailed distributions in finance, (pp. 211-248). 2003

Persistent link: https://www.econbiz.de/10001882077

Long range dependence in heavy tailed stochastic processes

Racheva-Iotova, Borjana; Samorodnitsky, Gennady - In: Handbook of heavy tailed distributions in finance, (pp. 641-662). 2003

Persistent link: https://www.econbiz.de/10001882201

Hitting time and time change

Vaugirard, Victor E. - In: Applied mathematical finance 11 (2004) 1, pp. 77-94

Persistent link: https://www.econbiz.de/10002001540

Calculation of volatility in a jump-diffusion model

Navas, Javier F. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 66-72

Persistent link: https://www.econbiz.de/10001861586

Determining inheritance distributions via stochastic penetrances

Hössjer, Ola - In: Journal of the American Statistical Association : JASA 98 (2003) 464, pp. 1035-1051

Persistent link: https://www.econbiz.de/10001975434

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