Estimating and using GARCH models with VIX data for option valuation
Juho Kanniainen; Binghuan Lin; Hanxue Yang
| Year of publication: |
2014
|
|---|---|
| Authors: | Kanniainen, Juho ; Lin, Binghuan ; Yang, Hanxue |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 43.2014, p. 200-211
|
| Subject: | Option valuation | VIX | GARCH | Estimation | ARCH-Modell | ARCH model | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Schätzung | Optionsgeschäft | Option trading |
| 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/10010410004