Fast analytic option valuation with GARCH
Year of publication: |
2010
|
---|---|
Authors: | Mazzoni, Thomas |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 18.2010, 1, p. 18-38
|
Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Theorie | Theory |
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