Work

An empirical model of volatility of returns and option pricing

Year: 2003

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/s0378-4371(03)00589-2

Authors: Joseph L. McCauley, Gemunu H. Gunaratne

Institutions: University of Houston, National Institute of Fundamental Studies

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1507529068

FWCI: 6.605

Cites: 10

Cited by: 42

Related to: 10