most citedOption pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model

5 citations · 7 across the 4 of their papers we have counts for

collaborators
Showing math.STShow all

1 paper · 1 filter

math.ST2007

Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis

Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar

S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of statio…