Option valuation with conditional heteroskedastic hidden truncation models
Rachid Belhachemi
| Year of publication: |
2024
|
|---|---|
| Authors: | Belhachemi, Rachid |
| Subject: | Black-Scholes | Hidden truncation | NGARCH | Option pricing | Volatility smirk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Black-Scholes-Modell | Black-Scholes model | Heteroskedastizität | Heteroscedasticity | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10480-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014636763