Option Valuation with Normal Mixture GARCH Models
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Publication:3574718
DOI10.2202/1558-3708.1580zbMath1193.91148OpenAlexW2008711664MaRDI QIDQ3574718
Reg J. Kulperger, Emese Lazar, Alexandru M. Badescu
Publication date: 2 July 2010
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1580
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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