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Empirical assessment of an intertemporal option pricing model with latent variables
Garcia, René; Luger, Richard; Renault, Eric - In: Journal of econometrics 116 (2003) 1/2, pp. 49-83
Persistent link: https://www.econbiz.de/10001772141
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The relative entropy in CGMY processes and its applications to finance
Kim, Young Shin; Lee, Jeong Hyun - In: Mathematical methods of operations research 66 (2007) 2, pp. 327-338
Persistent link: https://www.econbiz.de/10003564151
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Pricing and hedging derivative securities with neural networks and a homogeneity hint
Garcia, René; Gençay, Ramazan - In: Journal of econometrics 94 (2000) 1/2, pp. 93-115
Persistent link: https://www.econbiz.de/10001437747