Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Lie-Jane Kao
| Year of publication: |
2012
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|---|---|
| Authors: | Kao, Lie-Jane |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 2, p. 1-21
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| Subject: | Variance-gamma process | feedback effect | leverage effect | locally risk-neutral valuation relationship (LRNVR) | Black–Scholes model | ad hoc Black–Scholes model | normal NGARCH model | stochastic volatility VG model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process |
| 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/10009624510