Option pricing with non-Gaussian scaling and infinite-state switching volatility (Q2347724)
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scientific article; zbMATH DE number 6443576
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing with non-Gaussian scaling and infinite-state switching volatility |
scientific article; zbMATH DE number 6443576 |
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Option pricing with non-Gaussian scaling and infinite-state switching volatility (English)
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8 June 2015
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option pricing
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anomalous scaling
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Markov switching
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GARCH
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0.791152834892273
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0.7713190317153931
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0.7685086131095886
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0.7682039141654968
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0.7672260403633118
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