Autoregressive trending risk function and exhaustion in random asset price movement

DOI10.1111/J.1467-9892.2010.00678.XzbMATH Open1226.91078OpenAlexW1899890244MaRDI QIDQ3103201FDOQ3103201

Authors:

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00678.x

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zbMATH Keywords

option pricingasset price movementexhaustion points

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The Mathematics of Financial Derivatives
• An Introduction to Financial Option Valuation

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