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Black scholes price
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continuous time stochastic volatility model
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Gallant, A. Ronald
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Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
Gallant, A. Ronald
;
Hsu, Chien-Te
;
Tauchen, George
-
1999
White (1987) show that the price of a derivative claim is the conditional expectation of the
Black-Scholes
price
with the …
Persistent link: https://www.econbiz.de/10009475602
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