Option pricing with conditional GARCH models
Year of publication: |
2021
|
---|---|
Authors: | Escobar, Marcos ; Rastegari, Javad ; Stentoft, Lars |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 289.2021, 1 (16.2.), p. 350-363
|
Subject: | Pricing | GARCH models | Closed form solutions | Markov Chains | Non-normality | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Volatilität | Volatility | CAPM |
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