Warrant pricing under GARCH diffusion model
Xin-Yu Wu; Chao-Qun Ma; Shou-Yang Wang
| Year of publication: |
2012
|
|---|---|
| Authors: | Wu, Xin-yu ; Ma, Chao-qun ; Wang, Shouyang |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 6, p. 2237-2244
|
| Subject: | Warrant pricing | GARCH diffusion model | Fast Fourier transform | Maximum likelihood | Efficient importance sampling | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Optionsanleihe | Warrant bond | Stochastischer Prozess | Stochastic process | Innovationsdiffusion | Innovation diffusion | Stichprobenerhebung | Sampling |
| Extent: | graph. Darst. |
|---|---|
| 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/10009673781