A GARCH option pricing model with \(\alpha\)-stable innovations (Q704080): Difference between revisions
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Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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Property / cites work: THE GARCH OPTION PRICING MODEL / rank | |||
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Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank | |||
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Latest revision as of 17:18, 7 June 2024
scientific article
Language | Label | Description | Also known as |
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English | A GARCH option pricing model with \(\alpha\)-stable innovations |
scientific article |
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A GARCH option pricing model with \(\alpha\)-stable innovations (English)
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12 January 2005
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Option pricing
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GARCH processes
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Tail truncation
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Stable distributions
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Volatility smile
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