Skewed generalized error distribution of financial assets and option pricing
Panayiotis Theodossiou (Cyprus University of Technology, Cyprus)
| Year of publication: |
September/December 2015
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| Authors: | Theodossiou, Panayiotis |
| Published in: |
Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society. - Camden, NJ : [Verlag nicht ermittelbar], ISSN 1096-1879, ZDB-ID 1418550-7. - Vol. 19.2015, 3/4, p. 223-266
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| Subject: | asymmetric volatility | call option pricing | conditional heteroskedasticity | geometric Brownian motion | skewed GED | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading | Derivat | Derivative | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011434223