Option pricing under GARCH models with Hansen's skewed-t distributed innovations
Yanxin Liu, Johnny Siu-Hang Li, Andrew Cheuk-Yin Ng
| Year of publication: |
January 2015
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|---|---|
| Authors: | Liu, Yanxin ; Siu-Hang Li, Johnny ; Ng, Andrew Cheuk-Yin |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 31.2015, p. 108-125
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| Subject: | Hansen's skewed-t distribution | Canonical valuation | Maximum entropy measure | ARCH-Modell | ARCH model | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2014.10.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011511067