The pricing of options on WIG20 using GARCH models
Year of publication: |
2013
|
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Authors: | Kamiński, Szymon |
Institutions: | Wydział Nauk Ekonomicznych, Uniwersytet Warszawski |
Subject: | GARCH models | Duan methodology | Black model | implied volatility | option pricing |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2013-06 33 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting ; G23 - Pension Funds; Other Private Financial Institutions |
Source: |
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