Estimation of an EGARCH volatility option pricing model using a bacteria foraging optimisation algorithm
Jing Dang, Anthony Brabazon, Michael O'Neill, and David Edelman
| Year of publication: |
2008
|
|---|---|
| Authors: | Dang, Jing ; Brabazon, Anthony ; O'Neill, Michael ; Edelman, David |
| Published in: |
Natural computing in computational finance ; [the inspiration for this book stemmed from the success of EvoFin 2007, the first European Workshop on Evolutionary Computation in Finance and Economics, which was held as part of the EvoWorkshops at Evo* in Valencia, Spain in April 2007]. - Berlin [u.a.] : Springer, ISBN 978-3-540-77476-1. - 2008, p. 109-127
|
| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Evolutionärer Algorithmus | Evolutionary algorithm | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009515172