Estimating the instantaneous volatility and covariance of risky assets-Reference-Cited by-同舟云学术

Estimating the instantaneous volatility and covariance of risky assets

Published:1995-03 Issue:1 Volume:11 Page:51-58
ISSN:8755-0024
Container-title:Applied Stochastic Models and Data Analysis
language:en
Short-container-title:Appl. Stochastic Models Data Anal.

Author:

Chesney Marc,Elliott Robert J.

Publisher

Wiley

Subject

Management of Technology and Innovation,Modelling and Simulation

Reference8 articles.

1. ‘Jumps and stochastic volatility: Exchange rate processes implicit in PHLX Deutschemark options’. University of Pennsylvania working paper, November 1999.

2. and , ‘Estimating the volatility of an exchange rate’, in and (Eds), Applied Stochastic Models and Data Analysis, World Scientific, Singapore, 1993.

3. Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model

4. The Pricing of Options on Assets with Stochastic Volatilities

5. Pricing foreign currency options with stochastic volatility

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