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Keywords: Stochastic processes
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Journal Articles
The lead‐lag relationship between stock index options and the stock index market: Model, moneyness, and news
Available to Purchase
International Journal of Managerial Finance (2009) 5 (3): 311–332.
Published: 26 June 2009
... that the consensus on the Korean financial markets may be incorrect. Stochastic processes Stock markets Options markets Stock prices Let Oi*(t,τ;K) denote the model price of option i with time to maturity τ on day t...
Journal Articles
A stochastic approach to modelling the USD/AUD exchange rate: Implications for managing foreign exchange exposure
Available to Purchase
International Journal of Managerial Finance (2005) 1 (1): 36–48.
Published: 01 March 2005
... and finite variance on the magnitude of price changes, εt. Defined by Mandelbrot and Van Ness (1968) , the term fractional Brownian motion (fBm) is used to describe a general class of continuous time stochastic processes with memory. As opposed to Gaussian random walks...
