Non-Gaussian GARCH option pricing models and their diffusion limits
Alexandru Badescu; Robert J. Elliott; Juan-Pablo Ortega
| Year of publication: |
2015
|
|---|---|
| Authors: | Badescu, Alexandru ; Elliott, Robert J. ; Ortega, Juan-Pablo |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 247.2015, 3 (16.12.), p. 820-830
|
| Subject: | Finance | Non-Gaussian GARCH models | Extended Girsanov principle | Conditional Esscher transform | Bivariate diffusion limit | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Innovationsdiffusion | Innovation diffusion |
| 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://ebvufind01.dmz1.zbw.eu/10011386309