Pricing individual stock options using both stock and market index information
Year of publication: |
2020
|
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Authors: | Rombouts, Jeroen V. K. ; Stentoft, Lars ; Violante, Francesco |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 111.2020, p. 1-16
|
Subject: | American option pricing | Economic loss | Forecasting | Multivariate GARCH | Aktienoption | Stock option | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Aktienmarkt | Stock market | Volatilität | Volatility | Optionsgeschäft | Option trading |
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