247 citations · 490 across the 10 of their papers we have counts for
3 papers · 1 filter
Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model
Jaume Masoliver, Josep Perello
We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a…
Hints for an extension of the early exercise premium formula for American options
Hans-Peter Bermin, Arturo Kohatsu-Higa, Josep Perello
Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numeric…
Extreme times in financial markets
Jaume Masoliver, Miquel Montero, Josep Perello
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, sp…