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Applications of the characteristic function-based continuum GMM in finance · Study

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ArticleApplications of the characteristic function-based continuum GMM in finance

Rachidi Kotchoni2010

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Articlegreen2010

Applications of the characteristic function-based continuum GMM in finance

Rachidi Kotchoni

15 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1963The Variation of Certain Speculative Prices 1987The Pricing of Options on Assets with Stochastic Volatilities 1987Expected stock returns and volatility 1998The Variance Gamma Process and Option Pricing 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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Year2010

Typearticle

Published2010-09-02

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations15

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2010.08.011

openalex_workW1970176118

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