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Risk contribution is exposure times volatility times correlation : decomposing risk using the x-sigma-rho formula
Menchero, Jose; Davis, Benjamin - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 97-106
Persistent link: https://www.econbiz.de/10009273909
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Option valuation with normal mixture GARCH models
Badescu, Alex; Kulperger, Reg; Lazar, Emese - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10009513631
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Estimation of an EGARCH volatility option pricing model using a bacteria foraging optimisation algorithm
Dang, Jing; Brabazon, Anthony; O'Neill, Michael; … - In: Natural computing in computational finance ; [the …, (pp. 109-127). 2008
Persistent link: https://www.econbiz.de/10009515172
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Pricing Taiwan option market with GARCH and stochastic volatility
Huang, Hung-hsi; Wang, Ching-ping; Chen, Shiau-hung - In: Applied financial economics 21 (2011) 10/12, pp. 747-754
Persistent link: https://www.econbiz.de/10009231596
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Empirical study of Nikkei 225 options with the Markov switching GARCH model
Satoyoshi, Kiyotaka; Mitsui, Hidetoshi - In: Asia-Pacific financial markets 18 (2011) 1, pp. 55-68
Persistent link: https://www.econbiz.de/10009237749
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
Persistent link: https://www.econbiz.de/10009580460
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Implied volatility index of KOSPI200 : information contents and properties
Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 24-39
Persistent link: https://www.econbiz.de/10009682531
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Empirical performance of Black-Scholes and GARCH option pricing models during turbulent times : the Indian evidence
Bhat, Aparna; Arekar, Kirti - In: International journal of economics and finance 8 (2016) 3, pp. 123-136
Persistent link: https://www.econbiz.de/10011447894
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Model-based pricing for financial derivatives
Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 187 (2015) 2, pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748