GARCH option pricing models with Meixner innovations
Matthias R. Fengler, Alexander Melnikov
| Year of publication: |
2018
|
|---|---|
| Authors: | Fengler, Matthias ; Melnikov, Alexander |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 21.2018, 3, p. 277-305
|
| Subject: | Esscher transform | GARCH models | Meixner distribution | Option pricing | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Innovation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-017-9141-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012055743