Bi-cubic B-spline fitting-based local volatility model with mean reversion process

Author:

Zhou Shifei,Wang Hao,Yen Jerome,Lai Kin Keung

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Computer Science (miscellaneous)

Reference29 articles.

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2. Cecchetti S, Lam P S, and Mark N, Mean reversion in equilibrium asset prices, The American Economic Review, 1990, 80: 398–418.

3. Black F, Mean reversion and consumption smoothing, Review of Financial Studies, 1990, 3: 107–114.

4. Bessembinder H, Coughenour J, Seguin P, and Smoller M M, Mean reversion in equilibrium asset prices: Evidence from the futures term structure, Journal of Finance, 1995, 50: 361–375.

5. Engle R and Patton A, What good is a volatility model?, Quantitative Finance, 2001, 1: 237–245.

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