Multifrequency jump-diffusions: An equilibrium approach
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Publication:2469552
DOI10.1016/J.JMATECO.2007.06.001zbMATH Open1151.91437OpenAlexW3124733380MaRDI QIDQ2469552FDOQ2469552
Authors: Laurent E. Calvet, Adlai J. Fisher 
Publication date: 6 February 2008
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w12797.pdf
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Cited In (5)
- What is beneath the surface? Option pricing with multifrequency latent states
- Asset allocation under multivariate regime switching
- Incomplete financial markets and jumps in asset prices
- Simple agent-based dynamical system models for efficient financial markets: theory and examples
- Bad environments, good environments: a non-Gaussian asymmetric volatility model
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