Index-option pricing with stochastic volatility and the value of accurate variance forecasts
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Publication:375251
DOI10.1007/BF01531596zbMATH Open1274.91410OpenAlexW3125950913MaRDI QIDQ375251FDOQ375251
A. Kane, Robert F. Engle, Jaesun Noh
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531596
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Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)
Cites Work
- The pricing of options and corporate liabilities
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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- ARCH modeling in finance. A review of the theory and empirical evidence
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- Time Series Regression with a Unit Root
- A functional central limit theorem for weakly dependent sequences of random variables
- Modelling the persistence of conditional variances
- The pricing of options on assets with stochastic volatilities
Cited In (3)
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