Chien-Te Hsu
Datos Biográficos
| ID | 8878940 |
|---|---|
| NOMBRE | Chien-Te Hsu |
| NOMBRES | Chien-Te |
| APELLIDO | Hsu |
| FIRMA | HSU C |
| VERIFICADO | No |
| TOTAL DE OBRAS | 1 |
| TOTAL DE CITAS | 0 |
| OBRAS COMO AUTOR | 1 |
| OBRAS COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 1999 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 1999 |
| ÍNDICE H | 0 |
Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
Acommon model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the Black-Scholes variance. Implementing the Hull and White characterization requires both estimates of the price dynamics and the conditional distribution of the forward …
Sin obras prominentes en esta página.
Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
Acommon model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the Black-Scholes variance. Implementing the Hull and White characterization requires both estimates of the price dynamics and the conditional distribution of the forward …
Autoregressive conditional heteroskedasticity (1 obra) · Complex Systems and Time Series Analysis (1 obra) · Computer Science (1 obra) · Conditional expectation (1 obra) · Conditional variance (1 obra) · Econometrics (1 obra) · Economics (1 obra) · Financial Risk and Volatility Modeling (1 obra) · Market Dynamics and Volatility (1 obra) · Mathematics (1 obra)