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Option pricing with realistic ARCH processes |
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| Authors: | Gilles Zumbach Luis Fernández |
| Institution: | 1. Consulting in Financial Research, Ch. Charles Baudouin 8, CH-1228 Saconnex d’Arve, Switzerland.gilles.zumbach@bluewin.ch;3. Argentière Capital AG, Landis + Gyr-Strasse 1, 6300 Zug, Switzerland. |
| Abstract: | |
| Keywords: | Option pricing Implied volatility ARCH process Student innovations Long memory volatility SP500 European options |