Recursive computation of piecewise constant volatilities

Computational Statistics & Data Analysis 2012 Vol. 56; Iss. 11

Recursive computation of piecewise constant volatilities

Laurie Davies, Christian Höhenrieder, Walter Krämer
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Volume:
56
Year:
2012
Language:
english
Pages:
1
DOI:
10.1016/j.csda.2010.06.027
File:
PDF, 1.75 MB
english, 2012
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