Option Valuation with Long-run and Short-run Volatility Components
Year of publication: |
2004-11-01
|
---|---|
Authors: | Christoffersen, Peter ; Jacobs, Kris ; Wang, Yintian |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | option valuation | long-run component | short-run component | unobserved components | persistence | GARCH | out-of-sample | évaluation d'option | composante long terme | composante court terme | composantes non observables | persistance | hors échantillon |
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