GARCH option valuation : theory and evidence
Year of publication: |
2013
|
---|---|
Authors: | Christoffersen, Peter F. ; Jacobs, Kris ; Ornthanalai, Chayawat |
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. 21.2013, 2, p. 8-41
|
Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model |
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