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Fernandez, Luis's
Scholarly Papers
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Aggregate Statistics |
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Total Downloads
238 |
Total
Citations
6 |
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1.
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Zumbach, Gilles O. affiliation not provided to SSRN Fernandez, Luis J.P. Morgan
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106
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Option pricing, implied volatility, ARCH process, Student innovations, long memory volatility, SP500 European options
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2.
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Zumbach, Gilles O. affiliation not provided to SSRN Fernandez, Luis J.P. Morgan Weber, Caroline Lombard Odier & Cie
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84
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3
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Heteroskedasticity, leverage, fat-tail innovation, ARCH, long-memory, stock time series, L-statistics
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3.
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Zumbach, Gilles O. affiliation not provided to SSRN Fernandez, Luis J.P. Morgan
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48
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1
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Realistic option pricing, cross-product, implied volatility, replication risk, hedging, SP500 European options, ARCH processes
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Records 1 -
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