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RISA semi analytic pricing formula for lookback options under a general stochastic volatility model
ناشر: Elsevier Science
سال: 2013
On geometric ergodicity of skewed—SVCHARME models
ناشر: Elsevier Science
سال: 2014
Volatility occupation times
ناشر: The Institute of Mathematical Statistics
سال: 2013
An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options
ناشر: Elsevier Science
سال: 2013
Volatility model selection for extremes of financial time series
ناشر: Elsevier Science
سال: 2013
Extended stochastic volatility models incorporating realised measures
ناشر: Elsevier Science
سال: 2014
Simulated likelihood inference for stochastic volatility models using continuous particle filtering
ناشر: Springer
سال: 2014
Long memory with stochastic variance model: A recursive analysis for US inflation
ناشر: Elsevier Science
سال: 2014
The large maturity smile for the Stein–Stein model
ناشر: Elsevier Science
سال: 2014