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Option pricing under multiscale stochastic volatility
(2015)
The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...
Stochastic volatility and option pricing in the Brazilian stock market: an empirical investigation
(2005)
The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close ...
Estimation of volatility of selected oil production projects
(Elsevier Science BvAmsterdamHolanda, 2006)
Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
(SSRN, 2005)
We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility ...
Speculation and price volatility in the coffee market
(CEPAL, 2021-05-31)
Green coffee growers, most of whom are smallholders, have suffered from the significant volatility and fall in the international price of this commodity over the past decade. It is therefore crucial to understand the factors ...
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
(Elsevier, 2015)
We develop a general equilibrium asset pricing model under incomplete information and rational learning in order to understand the unexplained predictability of option prices. In our model, the fundamental dividend growth ...
Estimating the volatility of mining projects considering price and operating cost uncertainties
(Elsevier Sci LtdOxfordInglaterra, 2006)
Pricing Derivatives Securities with Prior Information on Long- Memory Volatility
(Centro de Investigación y Docencia Económicas, A.C., 2003)
The volatility outlook for commodities prices
(FGV EPGE; Vale, 2012-08)
Apresentação do palestrante Robert Engle - New York University no contexto do evento "The Economics and Econometrics of Commodity Prices". Mais informações em: <http://epge.fgv.br/conferencias/commodity-prices/index.php>.