Option pricing with non-Gaussian scaling and infinite-state switching volatility
Year of publication: |
August 2015
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Authors: | Baldovin, Fulvio ; Caporin, Massimiliano ; Caraglio, Michele ; Stella, Attilio L. ; Zamparo, Marco |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 486-497
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Subject: | Option pricing | Anomalous scaling | Markov switching | GARCH | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Schätzung | Estimation | Skalenertrag | Returns to scale | Börsenkurs | Share price |
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