Time Series Analysis and Calibration to Option Data: A Study of Various Asset Pricing Models

DOI10.1007/978-3-319-12307-3_17zbMath1402.91889OpenAlexW2174079044MaRDI QIDQ3459711

R. N. Makarov, Arash Soleimani Dahaj, Giuseppe Campolieti

Publication date: 11 January 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-12307-3_17

Mathematics Subject Classification ID

Related Items (1)

Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

Cites Work

• Implementing models in quantitative finance: methods and cases
• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS
• Unnamed Item

This page was built for publication: Time Series Analysis and Calibration to Option Data: A Study of Various Asset Pricing Models