"Recursive computation of piecewise constant volatilities."

Laurie Davies, Christian Höhenrieder, Walter Krämer (2012)

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DOI: 10.1016/J.CSDA.2010.06.027

access: closed

type: Journal Article

metadata version: 2020-02-18

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Laurie Davies, Christian Höhenrieder, Walter Krämer:
Recursive computation of piecewise constant volatilities. Comput. Stat. Data Anal. 56(11): 3623-3631 (2012)

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