A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Andrea Guizzardi
| Year of publication: |
2024
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|---|---|
| Authors: | Ballestra, Luca Vincenzo ; D'Innocenzo, Enzo ; Guizzardi, Andrea |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 314.2024, 3 (1.5.), p. 1185-1194
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| Subject: | Asset price | Finance | GARCH | Interest rate | Option pricing | Optionspreistheorie | Option pricing theory | Zins | ARCH-Modell | ARCH model | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Börsenkurs | Share price | Schätzung | Estimation | CAPM | Kapitaleinkommen | Capital income | Zinsstruktur | Yield curve |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.11.049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014456945