Option valuation with long-run and short-run volatility components
Peter Christoffersen; Kris Jacobs; Chayawat Ornthanalai; Yintian Wang
| Year of publication: |
2008
|
|---|---|
| Authors: | Christoffersen, Peter F. ; Jacobs, Kris ; Ornthanalai, Chayawat ; Wang, Yintian |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 90.2008, 3, p. 272-297
|
| Subject: | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003833351