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Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process
Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216
Persistent link: https://www.econbiz.de/10009703683
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Modeling of the national economies in state-space : a fractional calculus approach
Škovránek, Tomáš; Podlubny, Igor; Petráš, Ivo - In: Economic modelling 29 (2012) 4, pp. 1322-1327
Persistent link: https://www.econbiz.de/10009667366
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Reducible diffusions with time-varying transformations with application to short-term interest rates
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Economic modelling 52 (2016), pp. 266-277
Persistent link: https://www.econbiz.de/10011645653
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Portfolio liquidation with delayed information
Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Economic modelling 126 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014461590
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Pricing currency options in a fractional Brownian motion with jumps
Xiao, Wei-lin; Zhang, Wei-guo; Zhang, Xi-li; Wang, Ying-luo - In: Economic modelling 27 (2010) 5, pp. 935-942
Persistent link: https://www.econbiz.de/10008824938
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The double exponential jump diffusion model for pricing European options under fuzzy environments
Zhang, Li-Hua; Zhang, Wei-guo; Xiao, Wei-Lin - In: Economic modelling 29 (2012) 3, pp. 780-786
Persistent link: https://www.econbiz.de/10009545516
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A fractal version of the Hull-White interest rate model
Hainaut, Donatien - In: Economic modelling 31 (2013), pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
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A note on the use of fractional Brownian motion for financial modeling
Rostek, Stefan; Schöbel, Rainer - In: Economic modelling 30 (2013), pp. 30-35
Persistent link: https://www.econbiz.de/10009702270
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Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666