Testing the local volatility assumption: a statistical approach
DOI10.1007/s10436-011-0180-zzbMath1298.62181OpenAlexW1966453996MaRDI QIDQ470421
Mathieu Rosenbaum, Mark Podolskij
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-011-0180-z
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Non-Markovian processes: hypothesis testing (62M07) Markov processes: hypothesis testing (62M02)
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Cites Work
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