GARCH-in-mean models with asymmetric variance processes for bivariate European option evaluation (2019)
- Authors:
- USP affiliated authors: CANCHO, VICENTE GARIBAY - ICMC ; LOUZADA NETO, FRANCISCO - ICMC ; LOPES, LUCAS PEREIRA - IME
- Unidades: ICMC; IME
- Subjects: INFERÊNCIA ESTATÍSTICA; ANÁLISE DE REGRESSÃO E DE CORRELAÇÃO; PROCESSOS ESTOCÁSTICOS
- Keywords: Black-Scholes model; Copulas; GARCH models; Pricing
- Agências de fomento:
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: Chilean Journal of Statistics
- ISSN: 0718-7912
- Volume/Número/Paginação/Ano: v. 10, n. 2, p. 155-176, 2019
-
ABNT
LOPES, Lucas Pereira e CANCHO, Vicente Garibay e LOUZADA, Francisco. GARCH-in-mean models with asymmetric variance processes for bivariate European option evaluation. Chilean Journal of Statistics, v. 10, n. 2, p. 155-176, 2019Tradução . . Disponível em: http://chjs.mat.utfsm.cl/volumes/10/ChJS-10-02-04.pdf. Acesso em: 23 abr. 2024. -
APA
Lopes, L. P., Cancho, V. G., & Louzada, F. (2019). GARCH-in-mean models with asymmetric variance processes for bivariate European option evaluation. Chilean Journal of Statistics, 10( 2), 155-176. Recuperado de http://chjs.mat.utfsm.cl/volumes/10/ChJS-10-02-04.pdf -
NLM
Lopes LP, Cancho VG, Louzada F. GARCH-in-mean models with asymmetric variance processes for bivariate European option evaluation [Internet]. Chilean Journal of Statistics. 2019 ; 10( 2): 155-176.[citado 2024 abr. 23 ] Available from: http://chjs.mat.utfsm.cl/volumes/10/ChJS-10-02-04.pdf -
Vancouver
Lopes LP, Cancho VG, Louzada F. GARCH-in-mean models with asymmetric variance processes for bivariate European option evaluation [Internet]. Chilean Journal of Statistics. 2019 ; 10( 2): 155-176.[citado 2024 abr. 23 ] Available from: http://chjs.mat.utfsm.cl/volumes/10/ChJS-10-02-04.pdf - Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a bayesian approach
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