Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
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DOI: 10.1016/j.irfa.2023.102622
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More about this item
Keywords
Pricing; Multi-asset options; GARCH models; Closed form solutions; Covariance dependent kernel; Maximum likelihood estimation;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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