Nonparametric option pricing under Beta-t-GARCH process with dynamic conditional score
Year of publication: |
2023
|
---|---|
Authors: | Pereira, Manoel F. de S. ; Veiga, Alvaro |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 21.2023, 3, p. 73-98
|
Subject: | Dynamic conditional score | Empirical Esscher transform | Nonparametric estimation | Option pricing | Nichtparametrisches Verfahren | Nonparametric statistics | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
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