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Volatility of volatility of financial markets

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  • L. Ingber

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  • J.K. Wilson

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Bibliographic Info

Paper provided by Lester Ingber in its series Lester Ingber Papers with number 99vv.

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Date of creation: 1999
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Handle: RePEc:lei:ingber:99vv

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References

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  1. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
  2. L. Ingber, 1998. "Some Applications of Statistical Mechanics of Financial Markets," Lester Ingber Papers 98sa, Lester Ingber.
  3. L. Ingber, 1984. "Statistical mechanics of nonlinear nonequilibrium financial markets," Lester Ingber Papers 84nn, Lester Ingber.
  4. L. Ingber, 1993. "Adaptive Simulated Annealing (ASA)," Lester Ingber Software asa, Lester Ingber.
  5. L. Ingber & H. Fujio & M.F. Wehner, 1991. "Mathematical comparison of combat computer models to exercise data," Lester Ingber Papers 91mc, Lester Ingber.
  6. L. Ingber, 1990. "Statistical mechanical aids to calculating term structure models," Lester Ingber Papers 90ac, Lester Ingber.
  7. L. Ingber, 1996. "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber.
  8. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
  9. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1998. "Pricing and Hedging Long-Term Options," Yale School of Management Working Papers ysm90, Yale School of Management.
  10. L. Ingber, 1996. "Nonlinear nonequilibrium nonquantum nonchaotic statistical mechanics of neocortical interactions," Lester Ingber Papers 96nn, Lester Ingber.
  11. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, 1991. "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber.
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Cited by:
  1. F. Parpinel & C. Pizzi, 2002. "Iterative estimation procedure for option pricing with stochastic volatility models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 211-223.
  2. Lester Ingber, 2000. "High-resolution path-integral development of financial options," Papers physics/0001048, arXiv.org.
  3. L. Ingber, 1999. "A simple options training model," Lester Ingber Papers 99so, Lester Ingber.
  4. L. Ingber, 2002. "Statistical mechanics of portfolios of options," Lester Ingber Papers 02po, Lester Ingber.
  5. L. Ingber & C. Chen & R.P. Mondescu & D. Muzzall & M. Renedo, 2001. "Probability tree algorithm for general diffusion processes," Lester Ingber Papers 01pt, Lester Ingber.
  6. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.

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