✦ LIBER ✦

Discrete time option pricing with flexible volatility estimation

✍ Scribed by Wolfgang Härdle; Christian M. Hafner

Book ID: 106235825
Publisher: Springer-Verlag
Year: 2000
Tongue: English
Weight: 129 KB
Volume: 4
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s007800050011

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Option pricing with stochastic volatilit

Option pricing with stochastic volatility models

✍ Herzel, Stefano 📂 Article 📅 2000 🏛 Springer ⚖ 150 KB

Option pricing with quadratic volatility

Option pricing with quadratic volatility: a revisit

✍ Leif Andersen 📂 Article 📅 2010 🏛 Springer-Verlag 🌐 English ⚖ 873 KB

Interest rate option pricing with volati

Interest rate option pricing with volatility humps

✍ Peter Ritchken; Iyuan Chuang 📂 Article 📅 2000 🏛 Springer US 🌐 English ⚖ 245 KB

Volatility estimation from observed opti

Volatility estimation from observed option prices

✍ Boyle, Phelim P. ;Thangaraj, Draviam 📂 Article 📅 2000 🏛 Springer ⚖ 185 KB

Option Pricing in Discrete-Time Incomple

Option Pricing in Discrete-Time Incomplete Market Models

✍ Lukasz Stettner 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 267 KB

Drift and volatility estimation in discr

Drift and volatility estimation in discrete time

✍ Robert J. Elliott; William C. Hunter; Barbara M. Jamieson 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 480 KB

In discrete time the increment of the logarithm of the price of a risky asset is supposed to involve two parameters which may be thought of as the 'drift' and 'volatility'. It is assumed these parameters take finitely many values, and that they change value like a Markov chain on this state space. F