Implementing option pricing models when asset returns follow an autoregressive moving average process
Chou-Wen Wang; Chin-Wen Wu; Shyh-Weir Tzang
| Year of publication: |
2012
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|---|---|
| Authors: | Wang, Chou-wen ; Wu, Chin-wen ; Tzang, Shyh-weir |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 24.2012, p. 8-25
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| Subject: | ARMA process | Option pricing | Martingale | Optionspreistheorie | Option pricing theory | ARMA-Modell | ARMA model | Stochastischer Prozess | Stochastic process | CAPM | Zeitreihenanalyse | Time series analysis | Martingal | Frankreich | Verwaltungsrecht | Juristische Person des öffentlichen Rechts | Kulturverwaltungsrecht |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Classification: | Allgemeines Verwaltungsrecht: Allgemeines |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009690239