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Black scholes price
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Continuous time methods
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continuous time stochastic volatility model
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"Modeling and Forecasting Realized Volatility"
Bollerslev, T.
;
Andersen, T.G.
;
Diebold, F. X.
;
Labys, P.
-
2003
contrast, permits the use of traditional time-series methods for modeling and forecasting. Building on the theory of
continuous-time
…
Persistent link: https://www.econbiz.de/10009475490
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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 …
Persistent link: https://www.econbiz.de/10009475602
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