Implementing option pricing models when asset returns follow an autoregressive moving average process
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DOI: 10.1016/j.iref.2011.12.003
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- Contreras, Javier & Rodríguez, Yeny E., 2014. "GARCH-based put option valuation to maximize benefit of wind investors," Applied Energy, Elsevier, vol. 136(C), pages 259-268.
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More about this item
Keywords
ARMA process; Option pricing; Martingale;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
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