Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
Qiuling Hua, Tingfeng Jiang and Zhang Cheng
| Year of publication: |
September 2018
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|---|---|
| Authors: | Hua, Qiuling ; Jiang, Tingfeng ; Cheng, Zhang |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 9, p. 1501-1515
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| Subject: | Option pricing | GARCH process | Improved EEMD | Stochastic volatility | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1444534 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011913179