Option pricing and ARCH processes
Year of publication: |
2012
|
---|---|
Authors: | Zumbach, Gilles |
Published in: |
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 9.2012, 3, p. 144-156
|
Publisher: |
Elsevier |
Subject: | Option pricing | ARCH process | Implied volatility | Student innovations | Long memory volatility | Hedging cost and risk |
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