Conditional volatility and the GARCH option pricing model with non-normal innovations
Year of publication: |
2013
|
---|---|
Authors: | Byun, Suk Joon ; Min, Byungsun |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 33.2013, 1, p. 1-28
|
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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