Options valuation and calibration for leveraged exchange-traded funds with Heston-Nandi and inverse Gaussian GARCH models
Hongkai Cao, Rupak Chatterjee and Zhenyu Cui
| 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 | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786319500270 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314515