GARCH vs. stochastic volatility : option pricing and risk management
Year of publication: |
2002
|
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Authors: | Lehar, Alfred ; Scheicher, Martin ; Schittenkopf, Christian |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 26.2002, 2/3, p. 323-345
|
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory | Theorie | Theory | Risikomaß | Risk measure |
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