Option valuation via nonaffine dynamics with realized volatility
Yuanyuan Zhang, Qian Zhang, Zerong Wang, Qi Wang
| Year of publication: |
2024
|
|---|---|
| Authors: | Zhang, Yuanyuan ; Zhang, Qian ; Wang, Zerong ; Wang, Qi |
| Subject: | Analytical approximation | Nonaffine GARCH | Option pricing | Realized volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101486 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014578567