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TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
Gatheral, Jim; Schied, Alexander; Slynko, Alla - In: Mathematical finance : an international journal of … 22 (2012) 3, pp. 445-475
Persistent link: https://www.econbiz.de/10009980088
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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 591-621
Persistent link: https://www.econbiz.de/10010012280
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VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
Robert, Christian Yann; Rosenbaum, Mathieu - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 133-165
Persistent link: https://www.econbiz.de/10009822577