Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Year of publication: |
2023
|
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Authors: | Escobar, Marcos ; Rastegari, Javad ; Stentoft, Lars |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 87.2023, p. 1-12
|
Subject: | Closed form solutions | Covariance dependent kernel | GARCH models | Maximum likelihood estimation | Multi-asset options | Pricing | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Maximum-Likelihood-Schätzung | CAPM | Schätztheorie | Estimation theory | Korrelation | Correlation |
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