Pages that link to "Item:Q2153632"
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The following pages link to Option valuation with IG-GARCH model and a U-shaped pricing kernel (Q2153632):
Displaying 4 items.
- A tale of two option markets: pricing kernels and volatility risk (Q894646) (← links)
- Option market trading activity and the estimation of the pricing kernel: a Bayesian approach (Q2173190) (← links)
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
- Variance swaps valuation under non-affine GARCH models and their diffusion limits (Q5234288) (← links)