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Search: subject:"Variance-dependent pricing Kernel"
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ECONIS (ZBW)
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Persistent and transient variance components in option pricing models with variance-dependent Kernel
Ghanbari, Hamed
- In:
Journal of empirical finance
79
(
2024
),
pp. 1-32
Persistent link: https://www.econbiz.de/10015179565
Saved in:
2
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
3
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
4
The role of the variance premium in Jump-GARCH option pricing models
Byun, Suk Joon
;
Jeon, Byoung Hyun
;
Min, Byungsun
;
Yoon, …
- In:
Journal of banking & finance
59
(
2015
),
pp. 38-56
Persistent link: https://www.econbiz.de/10011544288
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