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Arbitrage-Based Pricing when Volatility is Stochastic
(Université de Montréal. Département de sciences économiques., 1996)
The paper investigates the pricing of derivative securities with calendar-time maturities.
Stochastic Volatility
(Université de Montréal. Département de sciences économiques., 1996)
This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous ...