Laurie Davies, Christian Höhenrieder, Walter Krämer. Recursive computation of piecewise constant volatilities. Computational Statistics & Data Analysis, 56(11):3623-3631, 2012. [doi]
@article{DaviesHK12,
title = {Recursive computation of piecewise constant volatilities},
author = {Laurie Davies and Christian Höhenrieder and Walter Krämer},
year = {2012},
doi = {10.1016/j.csda.2010.06.027},
url = {http://dx.doi.org/10.1016/j.csda.2010.06.027},
researchr = {https://researchr.org/publication/DaviesHK12},
cites = {0},
citedby = {0},
journal = {Computational Statistics & Data Analysis},
volume = {56},
number = {11},
pages = {3623-3631},
}