The GARCH-stable option pricing model
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Publication:1600540
DOI10.1016/S0895-7177(01)00127-3zbMath1008.91048MaRDI QIDQ1600540
H. A. Hauksson, Svetlozar T. Rachev
Publication date: 13 June 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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