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ArticleLong memory options: LM evidence and simulations

Sutthisit Jamdee2006

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Articlegreen2006

Long memory options: LM evidence and simulations

Sutthisit Jamdee · Cornelis A. Los

16 citations·0/0 files stored·Research in International Business and Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Fractional Differential Equations Solutions

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References

1973The Pricing of Options and Corporate Liabilities 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1968Fractional Brownian Motions, Fractional Noises and Applications 1979Option pricing: A simplified approach 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1981Fractional Differencing 2000An Introduction to Econophysics: Correlations and Complexity in Finance

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2014Time-varying long range dependence in energy futures markets 2011A comparison of developed and emerging equity market return volatility at different time scales

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Year2006

Typearticle

Published2006-07-30

VenueResearch in International Business and Finance

ISSN-L0275-5319

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ribaf.2006.04.001

openalex_workW3123929030

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