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Black scholes price
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continuous time stochastic volatility model
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Tauchen, George
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Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
Gallant, A. Ronald
;
Hsu, Chien-Te
;
Tauchen, George
-
1999
A common model for security price dynamics is the
continuous-time
stochastic volatility model. For this model, Hull and …
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