A modified tempered stable distribution with volatility clustering
Young Shin Kim, Svetlozar T. Rachev, Dong Myung Chung and Michele Leonardo Bianchi
| Year of publication: |
2008
|
|---|---|
| Authors: | Kim, Young Shin ; Račev, Svetlozar T. ; Chung, Dong Myung ; Bianchi, Michele Leonardo |
| Published in: |
New developments in financial modelling. - Newcastle upon Tyne : Cambridge Scholars Publ., ISBN 1-84718-674-2. - 2008, p. 344-365
|
| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003981863