Chien-Te Hsu
Biographic Data
| ID | 8878940 |
|---|---|
| NAME | Chien-Te Hsu |
| GIVEN NAMES | Chien-Te |
| FAMILY NAME | Hsu |
| SIGNATURE | HSU C |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1999 |
| LATEST PUBLICATION YEAR | 1999 |
| H-INDEX | 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 …
No prominent works on this page.
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 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Conditional expectation (1 work) · Conditional variance (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work)