Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Year of publication: |
2017
|
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Authors: | Badescu, Alexandru ; Cui, Zhenyu ; Ortega, Juan-Pablo |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 4, p. 602-648
|
Subject: | bivariate diffusion limit | exponential linear variance-dependent pricing kernel | non-affine GARCH models | non-Gaussian innovations | option pricing | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Innovationsdiffusion | Innovation diffusion |
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