Capturing option anomalies with a variance-dependent pricing Kernel
Peter Christoffersen; Steven Heston; Kris Jacobs
| Year of publication: |
2013
|
|---|---|
| Authors: | Christoffersen, Peter F. ; Heston, Steven L. ; Jacobs, Kris |
| Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 26.2013, 8, p. 1962-2006
|
| Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Core | Börsenkurs | Share price | Varianzanalyse | Analysis of variance | Theorie | Theory | USA | United States | 1996-2009 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010207293