Time Series Analysis and Calibration to Option Data: A Study of Various Asset Pricing Models
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Publication:3459711
DOI10.1007/978-3-319-12307-3_17zbMath1402.91889MaRDI QIDQ3459711
R. N. Makarov, Arash Soleimani Dahaj, Giuseppe Campolieti
Publication date: 11 January 2016
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-12307-3_17
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
91B82: Statistical methods; economic indices and measures
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