scientific article; zbMATH DE number 5586346

zbMath1166.62077MaRDI QIDQ5325812

Shih-Feng Huang, Mei-Hui Guo

Publication date: 24 July 2009

Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/J19N3/j19n39/j19n39.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

copulaBlack-Scholes modelAmerican optionjump-diffusion modelEuropean optionconvertible bondNGARCH modelmulti-dimensional option pricing

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Asymptotic distribution of the EPMS estimator for financial derivatives pricing ⋮ Hedging Barrier Options in GARCH Models with Transaction Costs ⋮ Dynamic Programming and Hedging Strategies in Discrete Time

This page was built for publication: