The performance of popular stochastic volatility option pricing models during the subprime crisis
Year of publication: |
2011
|
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Authors: | Moyaert, Thibaut ; Petitjean, Mikael |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 21.2011, 13/15, p. 1059-1068
|
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Finanzkrise | Financial crisis | Europa | Europe | 2008 |
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