It is widely accepted that the volatility of financial returns evolves over time. As a
consequence, the distribution of returns has higher kurtosis than if they were Gaussian …

In this paper, we define the mixed fractional Constant Elasticity of Variance (CEV) process
exploiting a transfer equation. This transformation enables us to shift non-linearity from the …

Purpose The purpose of this article is to propose a detailed methodology to estimate, model
and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real …

The present study analyzes the extra insights that option pricing models may achieve when
uncertainty about parameters is modeled through fuzzy numbers. Specifically, we consider …

This article applies the multiplicative quadrinomial tree numerical method with non-constant
volatility to assess a real option of abandonment, based on an estimate of the conditional …

This article describes in detail the multiplicative quadrinomial tree numerical method with
nonconstant volatility, based on a system of stochastic differential equations of the GARCH …

There has been an increasing interest in the financial econometrics literature on the
properties of non-linear transformations of returns. In this paper, we focus on power …

This paper focuses on the estimation of parameters in stochastic volatility models which can
be considered as continuous time approximation of GARCH (1, 1) processes. In particular …

The present work focuses on the inference in stochastic volatility models. More precisely,
estimation of suitable functions of the mean vector of the increment stock price is performed …

This paper focuses on the inference of suitable generally non linear functions in stochastic
volatility models. In this context, in order to estimate the variance of the proposed estimators …