A GARCH option pricing model with \(\alpha\)-stable innovations (Q704080): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE GARCH OPTION PRICING MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4894945 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2709279 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4301585 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3717907 / rank
 
Normal rank

Latest revision as of 17:18, 7 June 2024

scientific article
Language Label Description Also known as
English
A GARCH option pricing model with \(\alpha\)-stable innovations
scientific article

    Statements

    A GARCH option pricing model with \(\alpha\)-stable innovations (English)
    0 references
    0 references
    0 references
    12 January 2005
    0 references
    0 references
    Option pricing
    0 references
    GARCH processes
    0 references
    Tail truncation
    0 references
    Stable distributions
    0 references
    Volatility smile
    0 references
    0 references