Persistent and transient variance components in option pricing models with variance-dependent Kernel
Hamed Ghanbari
| Year of publication: |
2024
|
|---|---|
| Authors: | Ghanbari, Hamed |
| Subject: | Component GARCH | Joint estimations | Two-factor GARCH | Two-factor stochastic volatility | Variance risk premium | Variance-dependent pricing Kernel | ARCH-Modell | ARCH model | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Risikoprämie | Risk premium | Varianzanalyse | Analysis of variance | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101531 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015179565