Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft
| Year of publication: |
mai 2023
|
|---|---|
| Authors: | Escobar, Marcos ; Rastegari, Javad ; Stentoft, Lars |
| Publisher: |
[Montréal] : [Canadian Derivatives Institute] |
| Subject: | Pricing | multi-asset options | GARCH models | Closed form solutions | Covariance dependent kernel | maximum likelihood estimation | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | CAPM | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Korrelation | Correlation |
freely available
| Extent: | 1 Online-Ressource (circa 33 Seiten) Illustrationen |
|---|---|
| Series: | Working paper. - [Montréal] : [Canadian Derivatives Institute], ZDB-ID 3046656-8. - Vol. DR 23, 02 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014281687