Conditional volatility and the GARCH option pricing model with non-normal innovations
Suk Joon Byun; Byungsun Min
| Year of publication: |
2013
|
|---|---|
| Authors: | Byun, Suk Joon ; Min, Byungsun |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 33.2013, 1, p. 1-28
|
| Subject: | Volatilität | Volatility | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Innovation |
| 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/10009697540