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This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility …
Persistent link: https://www.econbiz.de/10008542373
This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and...
Persistent link: https://www.econbiz.de/10005558309