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Search: subject:"G.A.R.C.H. diffusion model"
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Option pricing theory
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G.A.R.C.H. diffusion model
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G.A.R.C.h. diffusion model
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efficient importance sampling
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option prices
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option pricing
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particle filter
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probability weighting
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rank-dependent utility
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Wu, Xinyu
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Li, Xindan
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Zhou, Hailin
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Probability weighting functions obtained from Hong Kong index option market
Wu, Xinyu
;
Xie, Haibin
;
Li, Xindan
- In:
Economic research
32
(
2019
)
1,2
,
pp. 1922-1943
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012435281
Saved in:
2
Estimation of market prices of risks in the
G.A.R.C.H
.
diffusion
model
Wu, Xinyu
;
Zhou, Hailin
;
Wang, Shouyang
- In:
Economic research
31
(
2018
)
1,1
,
pp. 15-36
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012311929
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