Option pricing with a dynamic fat-tailed model
Sofiane Aboura; Sebastien Valeyre; Niklas Wagner
| Year of publication: |
2014
|
|---|---|
| Authors: | Aboura, Sofiane ; Valeyre, Sebastien ; Wagner, Niklas F. |
| Published in: |
Journal of derivatives & hedge funds. - Basingstoke : Palgrave Macmillian, ISSN 1753-9641, ZDB-ID 2408771-3. - Vol. 20.2014, 3, p. 131-155
|
| Subject: | European-style option pricing | volatility smile | risk model | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | Index-Futures | Index futures |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010462976