Switching asymmetric GARCH and options on a volatility index
Year of publication: |
2004
|
---|---|
Authors: | Daouk, Hazem ; Guo, Jie Qun |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 24.2004, 3, p. 251-282
|
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätzung | Estimation | USA | United States |
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