An investigation of model risk in a market with jumps and stochastic volatility
From MaRDI portal
Publication:323232
DOI10.1016/j.ejor.2016.03.018zbMath1346.91263OpenAlexW3121383627MaRDI QIDQ323232
Guillaume Coqueret, Bertrand Tavin
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.018
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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