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  • Search: subject:"Generalized Hyperbolic GARCH"
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Subject
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Esscher transform 2 Generalized Hyperbolic GARCH 2 Option pricing 2 Radon-Nikodym derivative 2 extended Girsanov principle 2 mean correcting martingale measure 2 risk neutral valuation 2 ARCH model 1 ARCH-Modell 1 Black-Scholes model 1 Black-Scholes-Modell 1 Derivat 1 Derivative 1 Martingal 1 Martingale 1 Option pricing theory 1 Optionspreistheorie 1 Statistical distribution 1 Statistische Verteilung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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BADESCU, ALEXANDRU 1 Badescu, Alexandru 1 ELLIOTT, ROBERT J. 1 Elliott, Robert J. 1 KULPERGER, REG 1 Kulperger, Reg 1 MIETTINEN, JARKKO 1 Miettinen, Jarkko 1 SIU, TAK KUEN 1 Siu, Tak Kuen 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS
BADESCU, ALEXANDRU; ELLIOTT, ROBERT J.; KULPERGER, REG; … - In: International Journal of Theoretical and Applied … 14 (2011) 05, pp. 669-708
-neutral dynamics of various classes of Generalized Hyperbolic GARCH models arising from different price kernels. We discuss the …
Persistent link: https://www.econbiz.de/10009245356
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Cover Image
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
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