Option pricing with asymmetric heteroskedastic normal mixture models
Jeroen V.K. Rombouts, Lars Stentoft
| Year of publication: |
July-September 2015
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|---|---|
| Authors: | Rombouts, Jeroen V. K. ; Stentoft, Lars |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 635-650
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| Subject: | Asymmetric heteroskedastic models | Finite mixture models | Option pricing | Out-of-sample prediction | Statistical fit | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Heteroskedastizität | Heteroscedasticity | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2014.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474435