Option pricing under GARCH models with Hansen's skewed-t distributed innovations
Year of publication: |
January 2015
|
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Authors: | Liu, Yanxin ; Siu-Hang Li, Johnny ; Ng, Andrew Cheuk-Yin |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 31.2015, p. 108-125
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Subject: | Hansen's skewed-t distribution | Canonical valuation | Maximum entropy measure | Entropie | Entropy | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model |
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