Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Year of publication: |
1997
|
---|---|
Authors: | Engle, Robert F. |
Other Persons: | Kane, Alex (contributor) ; Noh, Jaesun (contributor) |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 1.1996, 2, p. 139-157
|
Subject: | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | USA | United States | 1968-1991 |
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