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Overnight information and stochastic volatility: A study of European and US stock exchanges

✍ Scribed by Ilias Tsiakas


Book ID
116614988
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
714 KB
Volume
32
Category
Article
ISSN
0378-4266

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## Abstract This study proposes a new scheme for static hedging of European path‐independent derivatives under stochastic volatility models. First, we show that pricing European path‐independent derivatives under stochastic volatility models is transformed to pricing those under one‐factor local vo