Options valuation and calibration for leveraged exchange-traded funds with Heston-Nandi and inverse Gaussian GARCH models
Year of publication: |
2019
|
---|---|
Authors: | Cao, Hongkai ; Chatterjee, Rupak ; Cui, Zhenyu |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 3, p. 1-37
|
Subject: | GARCH model | LETF options | Heston-Nandi | inverse Gaussian | calibration | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionsgeschäft | Option trading |
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