Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
Year of publication: |
2001
|
---|---|
Authors: | GARCIA, René ; LUGER, Richard ; RENAULT, Éric |
Institutions: | Département de Sciences Économiques, Université de Montréal |
Subject: | oion icing | stochastic discount factor | stochastic volatility | Black-Scholes imied volatility | smile effect | equilibrium oion icing |
-
Asymmetric Smiles, Leverage Effects and Structural Parameters.
GARCIA, René, (2001)
-
Risk Aversion, Intertemporal Substitution, and Option Pricing
GARCIA, René, (1998)
-
Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
Veraart, Almut E. D., (2008)
- More ...
-
Asymmetric Smiles, Leverage Effects and Structural Parameters.
GARCIA, René, (2001)
-
Latent Variable Models for Stochastic Discount Factors.
GARCIA, René, (2000)
-
Risk Aversion, Intertemporal Substitution, and Option Pricing
GARCIA, René, (1998)
- More ...