Discrete time option pricing with flexible volatility estimation

DOI10.1007/s007800050011zbMath0951.91027OpenAlexW2026302029MaRDI QIDQ1584195

Christian M. Hafner, Wolfgang Karl Härdle

Publication date: 1 November 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4485

zbMATH Keywords

option pricingGARCHvolatilityleverage effectthreshold GARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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