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Search: subject:"Fractional Brownian Motion"
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fractional Brownian motion
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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Essays in honor of Joon Y. Park : econometric theory
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ECONIS (ZBW)
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Multivariate
fractional
Brownian
motion
and generalizations of SABR model
Musiela, Marek
- In:
Options - 45 years since the publication of the …
,
(pp. 73-87)
.
2023
Persistent link: https://www.econbiz.de/10014366588
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2
Buy rough, sell smooth
Glasserman, Paul
;
He, Pu
- In:
Options - 45 years since the publication of the …
,
(pp. 89-125)
.
2023
Persistent link: https://www.econbiz.de/10014366595
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3
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
Saved in:
4
Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 73-95)
.
2023
Persistent link: https://www.econbiz.de/10014313249
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