Nonparametric option pricing under Beta-t-GARCH process with dynamic conditional score
Manoel F. de S. Pereira, Alvaro Veiga
| Year of publication: |
2023
|
|---|---|
| Authors: | Pereira, Manoel F. de S. ; Veiga, Alvaro |
| Subject: | Dynamic conditional score | Empirical Esscher transform | Nonparametric estimation | Option pricing | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/rbfin.v21n3.2023.81822 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014442582