Locally risk-neutral valuation of options in GARCH models based on variance-gamma process (Q2882691)
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scientific article; zbMATH DE number 6031401
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Locally risk-neutral valuation of options in GARCH models based on variance-gamma process |
scientific article; zbMATH DE number 6031401 |
Statements
7 May 2012
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variance-gamma process
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feedback effect
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leverage effect
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locally risk-neutral valuation relationship
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Black-Scholes model
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ad hoc Black-Scholes model
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normal NGARCH model
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stochastic volatility VG model
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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process (English)
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