<--- Back to Details
First PageDocument Content
Mathematical analysis / Edgeworth series / Normal distribution / Cumulant / Autoregressive conditional heteroskedasticity / Moment-generating function / Stochastic volatility / Skewness / Characteristic function / Statistics / Probability theory / Mathematical finance
Date: 2011-11-29 06:50:38
Mathematical analysis
Edgeworth series
Normal distribution
Cumulant
Autoregressive conditional heteroskedasticity
Moment-generating function
Stochastic volatility
Skewness
Characteristic function
Statistics
Probability theory
Mathematical finance

Fast Analytic Option Valuation with GARCH

Add to Reading List

Source URL: www.fernuni-hagen.de

Download Document from Source Website

File Size: 838,06 KB

Share Document on Facebook

Similar Documents

Time series analysis / Statistics / Time series models / Autoregressive conditional heteroskedasticity / Noise / CUSUM / Time series / Autoregressive conditional duration / Economic model / Autoregressive model / Parameter / ACD

Ann Inst Stat Math:621–637 DOIs10463x Parameter change test for autoregressive conditional duration models Sangyeol Lee1 · Haejune Oh1

DocID: 1rjRw - View Document

Mathematical finance / Financial risk / Economy / Finance / Money / Actuarial science / Technical analysis / Volatility / Autoregressive conditional heteroskedasticity / Market risk / RiskMetrics / Value at risk

Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected∗ Harald Kinateder† Niklas Wagner‡ Version: January 2014

DocID: 1rjdO - View Document

Statistics / Regression analysis / Time series analysis / Statistical inference / Quantile / Bootstrapping / Autocorrelation / Autoregressive conditional heteroskedasticity

The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series∗ Heejoon Han† Oliver Linton‡

DocID: 1rgRd - View Document

Mathematical finance / Applied mathematics / Economy / Academia / Volatility / Autoregressive conditional heteroskedasticity / Stochastic volatility / Implied volatility

Microsoft Word - EBVM13docx

DocID: 1raO6 - View Document

Economics / Labour economics / Macroeconomic model / Autoregressive conditional heteroskedasticity / Economy

A Distributional Framework for Matched Employer Employee Data ∗ St´ephane Bonhomme

DocID: 1r913 - View Document