Volatility Long Memory on Option Valuation : Component Garch versus Fractionally Integrated GARCH
Year of publication: |
2009
|
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Authors: | Wang, Yintian |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (37 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 23, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1438001 [DOI] |
Classification: | C22 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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