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Comptes Rendus Mathematique
Volumn 334, Issue 6, 2002, Pages 505-508
Instantaneous liquidity rate, its econometric measurement by volatility feedback
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EID: 0038392278     PISSN: 1631073X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1631-073X(02)02297-5     Document Type: Article
Times cited : (8)
References (4)
  • 1
    • 0030328887 scopus 로고    scopus 로고
    • The constant elasticity of variance option pricing model
    • J.C. Cox, The constant elasticity of variance option pricing model, J. Portfolio Management 23 (3) (1997) 15-17.
    • (1997) J. Portfolio Management , vol.23 , Issue.3 , pp. 15-17
    • Cox, J.C.1
  • 2
    • 0032084130 scopus 로고    scopus 로고
    • Non perturbative construction of invariant measure through confinement by curvature
    • A.B. Cruzeiro, P. Malliavin, Non perturbative construction of invariant measure through confinement by curvature, J. Math. Pures Appl. 77 (1998) 527-538.
    • (1998) J. Math. Pures Appl. , vol.77 , pp. 527-538
    • Cruzeiro, A.B.1    Malliavin, P.2
  • 3
    • 0003580301 scopus 로고    scopus 로고
    • Derivatives in Financial Markets with Stochastic Volatility
    • Cambridge University Press
    • J. Fouque, G. Papanicolau, R. Sircar, Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press, 2000.
    • (2000)
    • Fouque, J.1    Papanicolau, G.2    Sircar, R.3
  • 4
    • 0002827920 scopus 로고    scopus 로고
    • Fourier series method for measurement of multivariate volatilities
    • P. Malliavin, M.E. Mancino, Fourier series method for measurement of multivariate volatilities, Finance and Stochastics VI (2002) 49-61.
    • (2002) Finance and Stochastics , vol.6 , pp. 49-61
    • Malliavin, P.1    Mancino, M.E.2

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