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Volatility Estimation and Option Pricing with Fractional Brownian Motion

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Author Info
Fajardo, J.
Cajueiro, D. O.

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File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=2665
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Paper provided by Finance Lab, Ibmec São Paulo in its series Finance Lab Working Papers with number flwp_53.

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Date of creation: Oct 2003
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Handle: RePEc:ibm:finlab:flwp_53

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  1. Pedro L. Valls Pereira & Hotta, L.K. & Souza, L.A.R., 1999. "Alternative Models to extract asset volatility: a comparative study," Finance Lab Working Papers flwp_14, Finance Lab, Ibmec São Paulo. [Downloadable!]
  2. Issler, João Victor, 1999. "Estimating and Forecasting the Volatility of Brazilian Finance Series Using Arch Models (Preliminary Version)," Economics Working Papers (Ensaios Economicos da EPGE) 347, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  4. Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Ibmec São Paulo. [Downloadable!]
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