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
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|---|---|
| Authors: | Mozumder, Sharif ; Talukdar, Bakhtear ; Kabir, M. Humayun ; Li, Bingxin |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 62.2024, 1, p. 97-133
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| 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 |
| 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