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This paper introduces a new jump diffusion process where the occurrence and the size of past jumps have an impact on both the instantaneous and the long term propensities of observing a jump instantaneously. Here, the intensity of jump arrival is a multifactor self-excited process whereas the...
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This study focus on applying the Heston's stochastic volatility model, to the Greek stock market, by estimating the … futures values of volatility …
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