Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Sharif Mozumder, Bakhtear Talukdar, M. Humayun Kabir, Bingxin Li
| Year of publication: |
2024
|
|---|---|
| Authors: | Mozumder, Sharif ; Talukdar, Bakhtear ; Kabir, M. Humayun ; Li, Bingxin |
| Subject: | Calibration | GARCH | Lévy innovations | NIG | Stochastic volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Innovation | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-023-01195-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014502965