Testing the local volatility assumption: a statistical approach
Year of publication: |
2011-01-13
|
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Authors: | Podolskij, Mark ; Rosenbaum, Mathieu |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Local Volatility Models | Stochastic Volatility Models | Test Statistics | Semi-Martingales | Limit Theorems |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 1 pages long |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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