Option pricing with non-Gaussian scaling and infinite-state switching volatility
Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio L. Stella, Marco Zamparo
| Year of publication: |
August 2015
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|---|---|
| Authors: | Baldovin, Fulvio ; Caporin, Massimiliano ; Caraglio, Michele ; Stella, Attilio L. ; Zamparo, Marco |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 486-497
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| Subject: | Option pricing | Anomalous scaling | Markov switching | GARCH | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499748