Estimation and Prediction of a Non-Constant Volatility

Vyacheslav Abramov and Fima Klebaner ()

Asia-Pacific Financial Markets, 2007, vol. 14, issue 1, 23 pages

Keywords: Non-constant volatility; Approximating and forecasting volatility; Black–Scholes formula; Best linear predictor (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10690-007-9044-y

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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