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

@@ 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
+Normal rank
@@ Property / cites work @@
+Arbitrage in fractional Brownian motion models
@@ Property / cites work: Arbitrage in fractional Brownian motion models / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional {O}rnstein-{U}hlenbeck processes
@@ Property / cites work: Fractional {O}rnstein-{U}hlenbeck processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3581693
@@ Property / cites work: Q3581693 / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Affine fractional stochastic volatility models
@@ Property / cites work: Affine fractional stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+The Monte-Carlo method for filtering with discrete-time observations
+Normal rank
@@ Property / cites work @@
+ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Refined Inference on Long Memory in Realized Volatility
+Normal rank
@@ Property / cites work @@
+Realized Volatility and Long Memory: An Overview
@@ Property / cites work: Realized Volatility and Long Memory: An Overview / rank @@
+Normal rank
@@ Property / cites work @@
+Q3667770
@@ Property / cites work: Q3667770 / rank @@
+Normal rank
@@ Property / cites work @@
+Realized Volatility: A Review
@@ Property / cites work: Realized Volatility: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal approximation of SDE's with additive fractional noise
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian motion, random walks and binary market models
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank