Marcus Fearnley

HEC Paris - Department of Finance

Doctorat

1 rue de la Liberation

Jouy-en-Josas Cedex, 78351

France

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Scholarly Papers (1)

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What's Beneath the Surface? Option Pricing with Multifrequency Latent States

HEC Paris Research Paper No. 969/2013
Number of pages: 52 Posted: 07 Nov 2012 Last Revised: 17 Oct 2014
EDHEC Business School - Department of Economics & Finance, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich - Department of Banking and Finance
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Abstract:

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Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing