Option pricing with state-dependent pricing kernel
Chen Tong, Peter Reinhard Hansen, Zhuo Huang
| Year of publication: |
2022
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|---|---|
| Authors: | Tong, Chen ; Hansen, Peter Reinhard ; Huang, Zhuo |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 8, p. 1409-1433
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| 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 |
| 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