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Discrete time option pricing with flexible volatility estimation |
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| Authors: | Wolfgang Härdle Christian M Hafner |
| Institution: | Institut für Statistik und ?konometrie, Humboldt-Universit?t zu Berlin, Spandauer Str. 1, D-10178 Berlin, Germany (e-mail: haerdle@wiwi.hu-berlin.de), DE CORE, Université catholique de Louvain, Louvain-la-Neuve, Belgium, BE |
| Abstract: | |
| Keywords: | :Option pricing volatility GARCH threshold GARCH leverage effect |
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