Option pricing with state-dependent pricing kernel
Chen Tong, Peter Reinhard Hansen, Zhuo Huang
| Year of publication: |
2022
|
|---|---|
| Authors: | Tong, Chen ; Hansen, Peter Reinhard ; Huang, Zhuo |
| Subject: | edgeworth expansion | option pricing | realized GARCH | regime-switching | variance risk premium | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Börsenkurs | Share price |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22338 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013287978