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A generalized binomial model and option pricing formulae for subordinated stock-price processes
A generalized binomial model option pricing formulae subordinated stock-price processes
2009/9/22
The first half of the paper is intended as a short survey
on discrete- and continuous-time option pricing. In the second part,
we develop new concepts and derive new results for option valuations
w...
THE MODIFIED TEMPERED STABLE DISTRIBUTION, GARCH MODELS AND OPTION PRICING
Option pricing GARCH process tempered stable distribution volatility clustering
2009/9/18
We introduce a new variant of the tempered stable distribution,
named the modified tempered stable (MTS) distribution and we develop
a GARCH option pricing model with MTS innovations. This model
al...