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

Détails bibliographiques
Publié dans:Journal of financial and quantitative analysis V. 45, 1-5 (2010).
Auteur principal: Jiang, George J.
Format: Article
Langue:anglais
Sujets:
Volatility.
Valuation methods.
Forecasting techniques.
Rates of return.
Options markets.
FASB statements - SFAS 123R.