Option pricing for historical filtering on Levy processes driven by GARCH (Q4901416)
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scientific article; zbMATH DE number 6129888
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| English | Option pricing for historical filtering on Levy processes driven by GARCH |
scientific article; zbMATH DE number 6129888 |
Statements
24 January 2013
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filtering historical simulation
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GARCH models
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Levy processes
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option pricing
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risk premium
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0.7891886830329895
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0.7716332674026489
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0.7643677592277527
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0.7621631026268005
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0.761178731918335
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