Volatility risk premium implications of GARCH option pricing models
Ioannis Papantonis
| Year of publication: |
November 2016
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|---|---|
| Authors: | Papantonis, Ioannis |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 58.2016, p. 104-115
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| Subject: | GARCH option-pricing | Volatility risk-premium | Joint maximum-likelihood | Volatility proxy | News impact curve | Variance impulse response | Empirical densities | Volatilität | Volatility | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Schätzung | Estimation | Börsenkurs | Share price | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011647056