Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Robert F. Engle ; Alex Kane ; Jaesun Noh
| Year of publication: |
1993
|
|---|---|
| Authors: | Engle, Robert F. ; Kane, Alex ; Noh, Jaesun |
| Publisher: |
San Diego |
| Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures |
| Extent: | 29 S. : graph. Darst |
|---|---|
| Series: | Discussion paper / Department of Economics, University of California San Diego. - San Diego, Calif., ZDB-ID 2437630-9. |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000877913