Smoothly truncated stable distributions, GARCH-models, and option pricing (Q1028530): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00186-008-0245-6
+Normal rank
@@ Property / OpenAlex ID @@
+W2063799029
@@ Property / OpenAlex ID: W2063799029 / rank @@
+Normal rank
@@ Property / cites work @@
+Stationarity of GARCH processes and of some nonnegative time series
+Normal rank
@@ Property / cites work @@
+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Augmented GARCH\((p,q)\) process and its diffusion limit
+Normal rank
@@ Property / cites work @@
+Asymptotic Distribution of the EMS Option Price Estimator
+Normal rank
@@ Property / cites work @@
+Empirical Martingale Simulation for Asset Prices
@@ Property / cites work: Empirical Martingale Simulation for Asset Prices / rank @@
+Normal rank
@@ Property / cites work @@
+A GARCH option pricing model with \(\alpha\)-stable innovations
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+An empirical comparison of GARCH option pricing models
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank