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  • Search: subject:"GARCH (hétéroscédasticité conditionnelle autorégressive généralisée)"
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GARCH 1 GARCH (hétéroscédasticité conditionnelle autorégressive généralisée) 1 absence d'arbitrage 1 innovations non normales 1 no-arbitrage 1 non-normal innovations 1 risk-neutral valuation 1 évaluation du risque neutre 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Christoffersen, Peter 1 Elkamhi, Redouane 1 Feunou, Bruno 1 Jacobs, Kris 1
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
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CIRANO Working Papers 1
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RePEc 1
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Option Valuation with Conditional Heteroskedasticity and Non-Normality
Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009
We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...
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