Pricing kernels with stochastic skewness and volatility risk
Year of publication: |
2012
|
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Authors: | Chabi-yo, Fousseni |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 58.2012, 3, p. 624-640
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Core | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
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