Option pricing with conditional GARCH models
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Publication:2028829
DOI10.1016/j.ejor.2020.07.002zbMath1487.91135OpenAlexW3041106420MaRDI QIDQ2028829
Lars Stentoft, Javad Rastegari, Marcos Escobar Anel
Publication date: 3 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.07.002
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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