The shifted GARCH model with affine variance : applications in pricing
Marcos Escobar-Anel, Yangyang Hou, Lars Stentoft
| Year of publication: |
2025
|
|---|---|
| Authors: | Escobar, Marcos ; Hou, Yangyang ; Stentoft, Lars |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 71.2025, Art.-No. 106371, p. 1-8
|
| Subject: | Affine GARCH | Maximum likelihood estimation | Moment generating function | Option pricing | Simulation | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Volatilität | Volatility |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106371 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015197067