Effect of volatility clustering on indifference pricing of options by convex risk measures
Rohini Kumar
| Year of publication: |
2015
|
|---|---|
| Authors: | Kumar, Rohini |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 1/2, p. 63-82
|
| Subject: | Risk measures | indifference price | implied volatility | volatility clustering | comparison principle | Volatilität | Volatility | Messung | Measurement | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Risiko | Risk | Clusteranalyse | Cluster analysis | Derivat | Derivative | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010505169