Estimation of market prices of risks in the G.A.R.C.H. diffusion model
Xinyu Wu, Hailin Zhou and Shouyang Wang
| Year of publication: |
2018
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| Authors: | Wu, Xinyu ; Zhou, Hailin ; Wang, Shouyang |
| Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 31.2018, 1,1, p. 15-36
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| Subject: | Market prices of risks | G.A.R.C.h. diffusion model | option pricing | efficient importance sampling | maximum likelihood | particle filter | Optionspreistheorie | Option pricing theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Risiko | Risk | Risikoprämie | Risk premium | Stichprobenerhebung | Sampling | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1331677X.2017.1421989 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012311929