Portfolio-based risk pricing : pricing long-term put options with GJR-Garch (1,1)
jump diffusion process / Sergei Esipov and Dajiang Guo
| Year of publication: |
1999
|
|---|---|
| Authors: | Esipov, Sergej ; Guo, Dajiang |
| Published in: |
Quantitative analysis in financial markets ; [Vol. 1] ; 1. - Singapore [u.a.] : World Scientific, ISBN 981-02-3788-X. - 1999, p. 312-322
|
| Subject: | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Theorie | Theory |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Notes: | In: Quantitative analysis in financial markets. - [Vol. 1] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001491270