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

Author:

Campolieti Giuseppe,Makarov Roman N.,Soleimani Dahaj Arash

Publisher

Springer International Publishing

Reference7 articles.

1. Bloomberg Professional: http://www.bloomberg.com/professional/

2. Campolieti, G., Makarov, R.: Pricing path-dependent options on state dependent volatility models with a Bessel bridge. Int. J. Theor. Appl. Financ. 10, 1–38 (2007)

3. Campolieti, G., Makarov, R.: Solvable nonlinear volatility diffusion models with affine drift. Arxiv preprint. arXiv:0907.2926 (2009)

4. Campolieti, G., Makarov, R.: On properties of analytically solvable families of local volatility diffusion models. Math. Financ. 22, 488–518 (2012)

5. Cox, J.C.: Notes on Option Pricing I: Constant Elasticity of Variance Diffusions. Unpublished manuscript, Stanford University, Graduate School of Business (1975)

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