Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Kadir Babaoğlu; Peter Christoffersen; Steven Heston; Kris Jacobs
| Year of publication: |
2015
|
|---|---|
| Authors: | Babaoğlu, Kadir ; Christoffersen, Peter F. ; Heston, Steven L. ; Jacobs, Kris |
| Publisher: |
Aarhus : School of Economics and Management |
| Subject: | volatility components | fat tails | jumps | pricing kernel | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | CAPM |
| Extent: | Online-Ressource (52 S.) |
|---|---|
| Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2015,55 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: PDF Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011398641