Multivariate option pricing with time varying volatility and correlations
Jeroen V. K. Rombouts, Lars Stentoft
| Year of publication: |
2011
|
|---|---|
| Authors: | Rombouts, Jeroen V. K. ; Stentoft, Lars |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 35.2011, 9, p. 2267-2281
|
| Subject: | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | ARCH-Modell | ARCH model |
| 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/10009247226