Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Kadir Babaoğlu, Peter Christoffersen, Steven Heston, Kris Jacobs
| Year of publication: |
2018
|
|---|---|
| Authors: | Babaoğlu, Kadir ; Christoffersen, Peter F. ; Heston, Steven L. ; Jacobs, Kris |
| Published in: |
Review of asset pricing studies. - Cary, NC : Oxford Univ. Press, ISSN 2045-9920, ZDB-ID 2581398-5. - Vol. 8.2018, 2, p. 183-231
|
| Subject: | volatility components | fat tails | jumps | pricing kernel | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | CAPM | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rapstu/rax021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012002169