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Level changes in volatility models

✍ Scribed by Mihaela Craioveanu; Eric Hillebrand

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Sensitivity of the bank stock returns di

✍ Elyas Elyasiani; Iqbal Mansur 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 197 KB

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOC

✍ Jim Gatheral; Elton P. Hsu; Peter Laurence; Cheng Ouyang; Tai-Ho Wang 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 324 KB

Computing the implied volatility in stoc

✍ Henri Berestycki; Jérôme Busca; Igor Florent 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 213 KB 👁 1 views

Estimation of integrated volatility in s

✍ Jeannette H. C. Woerner 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 182 KB 👁 1 views

Institut f . u ur Mathematische Stochastik, Universit . a at G . o ottingen, Maschm . u uhlenweg 8-10, D-37073 G . o ottingen, Germany

Modeling structural changes in the volat

✍ Bart Frijns; Thorsten Lehnert; Remco C.J. Zwinkels 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 486 KB

Modeling volatility changes in the 10-ye

✍ Guillermo Covarrubias; Bradley T. Ewing; Scott E. Hein; Mark A. Thompson 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 156 KB