On basic price model and volatility in multiple frequencies

IEEE Workshop on Statistical Signal Processing Proceedings

Volumn , Issue , 2011, Pages 45-48

  Torun, Mustafa U ^a   Akansu, Ali N ^a  

^a NEW JERSEY INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Black Scholes; Multiple Frequency Finance; Price Jumps and Regime Change; Price Models; Volatility Models

Indexed keywords

BLACK-SCHOLES; MULTIPLE FREQUENCY; PRICE JUMPS AND REGIME CHANGE; PRICE MODELS; VOLATILITY MODELS;

COMPUTER SIMULATION; COSTS; SIGNAL PROCESSING;

COMMERCE;

EID: 80052237594     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/SSP.2011.5967731     Document Type: Conference Paper

References (7)

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7. R. Cont and P. Tankov, Financial modelling with jump processes. Chapman & Hall/CRC Press, 2003.