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On the numerical option pricing methods : fractional black-scholes equations with CEV assets
Banihashemi, S.; Ghasemifard, A.; Babaei, A. - In: Computational economics 64 (2024) 3, pp. 1463-1488
Persistent link: https://www.econbiz.de/10015143934
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Estimating the long-memory parameter in nonstationary processes using wavelets
Boubaker, Heni; Péguin-Feissolle, Anne - In: Computational economics 42 (2013) 3, pp. 291-306
Persistent link: https://www.econbiz.de/10010189026
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Adaptive quadrature for maximum likelihood estimation of a class of dynamic latent variable models
Cagnone, Silvia; Bartolucci, Francesco - In: Computational economics 49 (2017) 4, pp. 599-622
Persistent link: https://www.econbiz.de/10011762141
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A stochastic EM algorithm for quantile and censored quantile regression models
Yang, Fengkai - In: Computational economics 52 (2018) 2, pp. 555-582
Persistent link: https://www.econbiz.de/10012053005
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Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching - In: Computational economics 56 (2020) 2, pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
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The use of partial fractional form of A-stable Padé schemes for the solution of fractional diffusion equation with application in option pricing
Ghafouri, Hamideh; Ranjbar, Mojtaba; Khani, Ali - In: Computational economics 56 (2020) 4, pp. 695-709
Persistent link: https://www.econbiz.de/10012390443
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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Unified approach for the affine and non-affine models : an empirical analysis on the S&P 500 volatility dynamics
Zhu, Shunwei; Wang, Bo - In: Computational economics 53 (2019) 4, pp. 1421-1442
Persistent link: https://www.econbiz.de/10012135302
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Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni - In: Computational economics 55 (2020) 2, pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920