Bayesian Option Pricing Using Asymmetric GARCH
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lanne, Markku & Luoto, Jani, 2008.
"Robustness of the risk-return relationship in the U.S. stock market,"
Finance Research Letters,
Elsevier, vol. 5(2), pages 118-127, June.
- Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany.
- HAFNER, Christian & HERWARTZ, Helmut, 1998.
"Volatility impulse response functions for multivariate GARCH models,"
CORE Discussion Papers
1998047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- HAFNER, Christian & HERWARTZ, Helmut, 2001. "Volatility impulse response functions for multivariate GARCH models," CORE Discussion Papers 2001039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
More about this item
KeywordsPRICING ; SIMULATION;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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