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Is violation of the random walk assumption an exception or a rule in capital markets?

Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501

Persistent link: https://www.econbiz.de/10012485200

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Predictability of Turkish foreign exchange and its implications to option pricing and arbitrage opportunities

Horasanlı, Mehmet - In: Central Bank review / The Central Bank of the Republic … 6 (2006) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10003506918

Power laws in financial markets : scaling exponent h and alpha-stable distributions

Günay, Samet - In: The journal of applied business research 31 (2015) 1, pp. 305-315

Persistent link: https://www.econbiz.de/10010503416

Rough stochastic elasticity of variance and option pricing

Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012485014

Fractal dynamics and wavelet analysis : deep volatility and return properties of Bitcoin, Ethereum and Ripple

Celeste, Valerio; Corbet, Shaen; Gurdgiev, Constantin - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 310-324

Persistent link: https://www.econbiz.de/10012417711

Option pricing under fast-varying and rough stochastic volatility

Garnier, Josselin; Sølna, Knut - In: Annals of finance 14 (2018) 4, pp. 489-516

Persistent link: https://www.econbiz.de/10012268319

Why the long-term auto-correlation has not been eliminated by arbitragers : evidences from NYMEX

Li, Daye; Nishimura, Yusaku; Men, Ming - In: Energy economics 59 (2016), pp. 167-178

Persistent link: https://www.econbiz.de/10011699528

An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model

Kilianová, Soňa; Letko, Boris - In: Risk and decision analysis 7 (2018) 1/2, pp. 51-62

Persistent link: https://www.econbiz.de/10011945645

Hurst exponents and delampertized fractional Brownian motions

Garcin, Matthieu - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-26

Persistent link: https://www.econbiz.de/10012153029

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