Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Constantinide, Eleni D."'
Publikováno v:
Quantitative Finance
In this paper we capture the implied distribution from option market data using a non-recombining (binary) tree, allowing the local volatility to be a function of the underlying asset and of time. The problem under consideration is a non-convex optim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::162987f2bb286c6e2d75b76b77fa8c30
https://doi.org/10.1080/14697680701488692
https://doi.org/10.1080/14697680701488692
Publikováno v:
Investment Management and Financial Innovations
This paper examines the relationship between changes in the information content of earnings with expected stock returns for the Japanese market during the period of 1991-2001. Results show that a mimicking portfolio return that relates to changes in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______4485::05ef619febe535a070d4b78ab349843c
http://gnosis.library.ucy.ac.cy/handle/7/46714
http://gnosis.library.ucy.ac.cy/handle/7/46714
