Estimation and pricing under long-memory stochastic volatility (Q470523): Difference between revisions

@@ Property / author @@
-Frederi G. Viens
@@ Property / author: Frederi G. Viens / rank @@
-Normal rank
@@ Property / author @@
+Frederi G. Viens
@@ Property / author: Frederi G. Viens / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J65
@@ Property / Mathematics Subject Classification ID: 60J65 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6368841
@@ Property / zbMATH DE Number: 6368841 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+long memory
@@ Property / zbMATH Keywords: long memory / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+particle filtering
@@ Property / zbMATH Keywords: particle filtering / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+estimation
@@ Property / zbMATH Keywords: estimation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multinomial tree
@@ Property / zbMATH Keywords: multinomial tree / rank @@
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@@ Property / describes a project that uses @@
+longmemo
@@ Property / describes a project that uses: longmemo / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10436-010-0156-4
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@@ Property / OpenAlex ID @@
+W2153046312
@@ Property / OpenAlex ID: W2153046312 / rank @@
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@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Generalised long-memory GARCH models for intra-daily volatility
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Econometric estimation in long-range dependent volatility models: theory and practice
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+Arbitrage in fractional Brownian motion models
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+Fractional {O}rnstein-{U}hlenbeck processes
@@ Property / cites work: Fractional {O}rnstein-{U}hlenbeck processes / rank @@
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@@ Property / cites work @@
+Q3581693
@@ Property / cites work: Q3581693 / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
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+Affine fractional stochastic volatility models
@@ Property / cites work: Affine fractional stochastic volatility models / rank @@
+Normal rank
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+The Monte-Carlo method for filtering with discrete-time observations
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+ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION
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+Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
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+Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
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+Refined Inference on Long Memory in Realized Volatility
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+Realized Volatility and Long Memory: An Overview
@@ Property / cites work: Realized Volatility and Long Memory: An Overview / rank @@
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+Q3667770
@@ Property / cites work: Q3667770 / rank @@
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@@ Property / cites work @@
+Realized Volatility: A Review
@@ Property / cites work: Realized Volatility: A Review / rank @@
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+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
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+Optimal approximation of SDE's with additive fractional noise
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+The Malliavin Calculus and Related Topics
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+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
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+Fractional Brownian motion, random walks and binary market models
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@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:470523