Deterministic volatility models and dynamics of option returns
type: Item
instance of: scholarly article
title: Deterministic volatility models and dynamics of option returns
zbMATH Open document ID: 1271.91103
author: Takahiro Yamamoto
author: Koichi Miyazaki
published in: JSIAM Letters
publication date: 2013-08-09T00:00:00Z
full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6197353
zbMATH Keywords: pricing kernel
zbMATH Keywords: deterministic volatility mode
zbMATH Keywords: cross-sectional option returns
MaRDI profile type: Publication
OpenAlex ID: W2078424292
DOI: 10.14495/JSIAML.3.57
description: scientific article; zbMATH DE number 6197353