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Persistent link: https://www.econbiz.de/10004977128
We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variation of the stock price. The stock price follows a marked point process and the market is incomplete. We first characterize the equivalent martingale...
Persistent link: https://www.econbiz.de/10004985285
This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the...
Persistent link: https://www.econbiz.de/10005582598
The study provides a brief summary of the theoretical and empirical considerations related to the possible determinants of firm growth. With a special focus on small and medium-sized firms, we investigate the role of the availability of internal and external finance. After examining the key...
Persistent link: https://www.econbiz.de/10010494459
Persistent link: https://www.econbiz.de/10000805305
Persistent link: https://www.econbiz.de/10000603475
Persistent link: https://www.econbiz.de/10001045649
The study provides a brief summary of the theoretical and empirical considerations related to the possible determinants of firm growth. With a special focus on small and medium-sized firms, we investigate the role of the availability of internal and external finance. After examining the key...
Persistent link: https://www.econbiz.de/10008904618
Persistent link: https://www.econbiz.de/10001154655