Waiting for returns: using space–time duality to calibrate financial diffusions

DOI10.1080/14697680500167976zbMath1134.91432OpenAlexW1965525682MaRDI QIDQ5711162

Mark Kamstra, Moshe Arye Milevsky

Publication date: 9 December 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500167976

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Conditional Heteroskedasticity in Asset Returns: A New Approach
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