Pricing individual stock options using both stock and market index information
Jeroen V.K. Rombouts, Lars Stentoft, Francesco Violante
| Year of publication: |
2020
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|---|---|
| Authors: | Rombouts, Jeroen V. K. ; Stentoft, Lars ; Violante, Francesco |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 111.2020, p. 1-16
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| Subject: | American option pricing | Economic loss | Forecasting | Multivariate GARCH | Optionspreistheorie | Option pricing theory | Aktienoption | Stock option | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2019.105727 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012221075