Free Access
Volume 4, 2000
Page(s) 205 - 227
Published online 15 August 2002
  1. O.E. Barndorff-Nielsen and N. Shephard, Aggregation and model construction for volatility models. Working paper series No. 10. Center for Analytical Finance, University of Aarhus (1998).
  2. G. Dohnal, On estimating the diffusion coefficient. J. Appl. Probab. 24 (1987) 105-114. [CrossRef] [MathSciNet]
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  4. V. Genon-Catalot, T. Jeantheau and C. Laredo, Limit theorems for discretely observed stochastic volatility models. Bernoulli 4 (1998) 283-303. [CrossRef] [MathSciNet]
  5. A. Gloter, Parameter estimation for a discrete sampling of an integrated Ornstein-Uhlenbeck process. Statistics (to appear).
  6. J. Hull and A. White, The pricing of options on assets with stochastic volatilities. J. Finance 42 (1987) 281-300. [CrossRef]
  7. J. Jacod, On continuous conditional Gaussian martingales and stable convergence in law. Séminaire de Probabilités XXXI. 1655. Springer, Berlin, Lectures Notes in Math. (1997) 232-246.
  8. M. Kessler, Estimation of an ergodic diffusion from discrete observations. Scand. J. Statist. 24 (1997) 211-229. [CrossRef] [MathSciNet]
  9. B. Leblanc, Modélisation de la Volatilité d'un Actif Financier et Applications. Thèse, Université Paris 7 (1997).
  10. M. Lefebvre, On the inverse of the first hitting time problem for bidimensional processes. J. Appl. Probab. 34 (1997) 610-622. [CrossRef] [MathSciNet]
  11. S. Pastorello, E. Renault and N. Touzi, Statistical inference for random variance option pricing. Southern European Economics Discussion Series, D.P.136 (1994).
  12. D. Revuz and M. Yor, Continuous Martingales and Brownian Motion. Springer-Verlag, Berlin Heidelberg, second edition (1994).

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