Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
Nuclear estimation of volatility
Available online: 7 February 2012 Subject Heading: Economic-mathematical modelling JEL Classification:
A non-parametric estimation of volatility constructed with use of nuclear functions with width of a spectrum of density of an estimation h, dependent on aversion of risk of the investor was suggested. This approximation was applied to computing fair prices of Russian derivatives. Keywords: volatility, width of spectrum, nuclear estimation, price, option, future |
ISSN 2311-8725 (Online)
|
|