Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Robert F. Engle ; Alex Kane ; Jaesun Noh
| Year of publication: |
1997
|
|---|---|
| Authors: | Engle, Robert F. |
| Other Persons: | Kane, Alex (contributor) ; Noh, Jaesun (contributor) |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 1.1996, 2, p. 139-157
|
| Subject: | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | USA | United States | 1968-1991 |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001218119