GARCH option pricing: A semiparametric approach (Q938035)
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scientific article; zbMATH DE number 5312898
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| default for all languages | No label defined |
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| English | GARCH option pricing: A semiparametric approach |
scientific article; zbMATH DE number 5312898 |
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GARCH option pricing: A semiparametric approach (English)
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18 August 2008
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option pricing
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GARCH
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extended Girsanov principle
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Esscher transform
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kernel density estimator
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semiparametric pricing
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0.8289430141448975
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0.8288663029670715
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0.8272063732147217
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0.821885883808136
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