Option pricing under GARCH models applied to the SET index of Thailand (Q5283641)
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scientific article; zbMATH DE number 6751548
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| English | Option pricing under GARCH models applied to the SET index of Thailand |
scientific article; zbMATH DE number 6751548 |
Statements
24 July 2017
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GARCH
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EGARCH and GJR risk-neutral models
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option pricing
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conditional Esscher transform
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0.7750087976455688
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0.7735688090324402
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0.772177517414093
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0.7681514620780945
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