Pricing and hedging options with GARCH-stable proxy volatilities
Sharif Mozumder, M. Humayun Kabir and Michael Dempsey
| Year of publication: |
2018
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|---|---|
| Authors: | Mozumder, Sharif ; Kabir, Humayun ; Dempsey, Michael |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 50.2018, 56, p. 6034-6046
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| Subject: | EGARCH | GARCH | GJR-GARCH | Black and Scholes’ model | expected shortfall | spectral risk measure | stable Paretian distribution | VaR | Risikomaß | Risk measure | Hedging | ARCH-Modell | ARCH model | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2018.1488057 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012063384