Loss Functions in Option Valuation: A Framework for Model Selection
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.
- Christian Wolff & Thorsten Lehnert & Cokki Versluis, 2009. "A Cumulative Prospect Theory Approach to Option Pricing," LSF Research Working Paper Series 09-03, Luxembourg School of Finance, University of Luxembourg.
More about this item
Keywordsestimation risk; GARCH; implied volatility; loss functions; option pricing;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-14 (All new papers)
- NEP-ECM-2005-06-14 (Econometrics)
- NEP-ETS-2005-06-14 (Econometric Time Series)
- NEP-FIN-2005-06-14 (Finance)
- NEP-FMK-2005-06-14 (Financial Markets)
- NEP-RMG-2005-06-14 (Risk Management)
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