Parameter estimation bias and volatility scaling in Black?Scholes option prices
Year of publication: |
2005
|
---|---|
Authors: | Batten, Jonathan ; So?ul Taehakkyo ; Ellis, Craig |
Institutions: | University of Western Sydney ; University of Western Sydney ; College of Law and Business ; School of Economics and Finance |
Publisher: |
Greenwich, Conn. JAI Press |
Subject: | scaling volatility | long-term dependence | foreign exchange | Time-Series Analysis |
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