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An Eigenfunction Approach for Volatility Modeling

  • Meddahi, N.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2001-29.

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Length: 44 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:mtl:montec:2001-29
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  32. Wiggins, James B., 1987. "Option values under stochastic volatility: Theory and empirical estimates," Journal of Financial Economics, Elsevier, vol. 19(2), pages 351-372, December.
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  71. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
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