Fourier volatility forecasting with high-frequency data and microstructure noise (Q2893211)
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scientific article; zbMATH DE number 6050010
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier volatility forecasting with high-frequency data and microstructure noise |
scientific article; zbMATH DE number 6050010 |
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Fourier volatility forecasting with high-frequency data and microstructure noise (English)
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26 June 2012
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Monte Carlo methods
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wavelets in finance
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mathematical finance
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GARCH models
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derivatives pricing
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financial engineering
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numerical methods for option pricing
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