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The fractional and mixed-fractional CEV model
16 references·0 citing·39 second hop
The fractional and mixed-fractional CEV model (2019)The fractional and mixed-fractional CEV m…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Leverage and Volatility Feedb…The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)The Hurst exponent over time:…FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…Mixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)An Elementary Approach to a G…The Constant Elasticity of Variance Option Pricing Model (1996)The Constant Elasticity of Va…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Book Review: Time Series Analysis: Forecasting and Control (1977)ARCH modeling in finance (1992)Prices of State-Contingent Claims Implicit in Option Prices (1978)Fitting Yield Curves and Forward Rate Curves With Maximum Smoothness (1994)Implied Binomial Trees (1994)The Variance Gamma Process and Option Pricing (1998)An Engine, Not a Camera (2006)The Cross‐Section of Volatility and Expected Returns (2006)Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)The Pricing of Options on Assets with Stochastic Volatilities (1987)Empirical Performance of Alternative Option Pricing Models (1997)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The Determinants of Credit Spread Changes (2001)The distribution of realized stock return volatility (2001)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)
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References

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  • 1991Long-Term Memory in Stock Market Prices1,756 cited
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  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,087 cited
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  • 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited

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  • 2001Mixed Fractional Brownian Motion389 cited
  • 1996The Constant Elasticity of Variance Option Pricing Model376 cited
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