Option valuation with long-run and short-run volatility components
Year of publication: |
2008
|
---|---|
Authors: | Christoffersen, Peter F. ; Jacobs, Kris ; Ornthanalai, Chayawat ; Wang, Yintian |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 90.2008, 3, p. 272-297
|
Subject: | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory |
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