Option-implied filtering : evidence from the GARCH option pricing model
Bingxin Li
| Year of publication: |
2020
|
|---|---|
| Authors: | Li, Bingxin |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 54.2020, 3, p. 1037-1057
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| Subject: | Option valuation | Discrete-time pricing model | Crude oil | State variable | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Ölmarkt | Oil market | Volatilität | Volatility | CAPM |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-019-00816-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012233110