Forecasting volatility using long memory and comovements An application to option valuation under SFAS 123R.

Forecasting volatility using long memory and comovements An application to option valuation under SFAS 123R.

Bibliographic Details
Published in:Journal of financial and quantitative analysis V. 45, 1-5 (2010).
Main Author: Jiang, George J.
Format: Article
Language:English
Subjects:
Volatility.
Valuation methods.
Forecasting techniques.
Rates of return.
Options markets.
FASB statements - SFAS 123R.