Volatility Estimation and Option Pricing with Fractional Brownian Motion
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|Date of creation:||Oct 2003|
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- Issler, João Victor, 1999. "Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 347, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- José Fajardo & Aquiles Farias, 2002.
"Generalized Hyperbolic Distributions and Brazilian Data,"
Working Papers Series
52, Central Bank of Brazil, Research Department.
- Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- 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, Insper Instituto de Ensino e Pesquisa.
- Andrade, R.F.S & Cajueiro, D.O & Ferreira, C.S, 2001. "Fractal characterization of the distribution of reactive sites over a rough catalyst surface," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 295(3), pages 323-332.
- Cipian Necula, 2008. "Option Pricing in a Fractional Brownian Motion Environment," Advances in Economic and Financial Research - DOFIN Working Paper Series 2, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
- repec:sbe:breart:v:19:y:1999:i:1:a:2793 is not listed on IDEAS
- 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 637-654, May-June.
- repec:sbe:breart:v:19:y:1999:i:1:a:2792 is not listed on IDEAS
- repec:sbe:breart:v:21:y:2001:i:2:a:2752 is not listed on IDEAS
- repec:sbe:breart:v:19:y:1999:i:1:a:2794 is not listed on IDEAS Full references (including those not matched with items on IDEAS)
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