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The interpolation of options

Mykland, Per A. - In: Finance and stochastics 7 (2003) 4, pp. 417-432

Persistent link: https://www.econbiz.de/10001800674

Option pricing bounds and statistical uncertainty : using econometrics to find an exit strategy in derivatives trading

Mykland, Per A. - 2010

Persistent link: https://www.econbiz.de/10003900766

A Gaussian calculus for inference from high frequency data

Mykland, Per A. - In: Annals of finance 8 (2012) 2/3, pp. 235-258

Persistent link: https://www.econbiz.de/10009548091

A tale of two time scales : determining integrated volatility with noisy high-frequency data

Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - 2003

Persistent link: https://www.econbiz.de/10001833930

The effects of random and discrete sampling when estimating continuous-time diffusions

Aït-Sahalia, Yacine; Mykland, Per A. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 483-549

Persistent link: https://www.econbiz.de/10001750277

How often to sample a continuous-time process in the presence of market microstructure noise

Aït-Sahalia, Yacine; Mykland, Per A. - 2003

Persistent link: https://www.econbiz.de/10001752968

The effects of Random and discrete sampling when estimating continuous-time diffusions

Aït-Sahalia, Yacine; Mykland, Per A. - 2002

Persistent link: https://www.econbiz.de/10001663740

Ultra high frequency volatility estimation with dependent microstructure noise

Aït-Sahalia, Yacine (contributor); … - 2005

We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for...

Persistent link: https://www.econbiz.de/10003126220

Ultra high frequency volatility estimation with dependent microstructure noise

Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - 2005

Persistent link: https://www.econbiz.de/10002880802

How often to simple a continuous-time process in the presence of market microstructure noise

Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: The review of financial studies 18 (2005) 2, pp. 351-416

Persistent link: https://www.econbiz.de/10002881476