Model risk of the implied GARCH-normal model (Q5247942)
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scientific article; zbMATH DE number 6431024
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model risk of the implied GARCH-normal model |
scientific article; zbMATH DE number 6431024 |
Statements
Model risk of the implied GARCH-normal model (English)
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27 April 2015
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conditional leptokurtic model
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dynamic semiparametric approach
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extended Girsanov principle
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GARCH model
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model risk
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option pricing
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