Browsing by Author "Hsu, G Tauchen with Chiente"

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Using daily range data to calibrate volatility diffusions and extract the forward integrated variance

Hsu, G Tauchen with Chiente; Gallant, AR (Review of Economics and Statistics, 1999-11-01)

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes ...