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We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...
Persistent link: https://www.econbiz.de/10004976982
, which are robust to weak identification and allow for non-Gaussian distributions including parametric GARCH structures. In …
Persistent link: https://www.econbiz.de/10008835415
, noncontinuous distributions, and very general serial dependence (linear or nonlinear) including GARCH-type and stochastic volatility …
Persistent link: https://www.econbiz.de/10008855591