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

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10011398641

A service of the