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Option pricing and ARCH processes
Authors:Gilles Zumbach
Institution:1. School of Economics, Jinan University, Guangzhou, Guangdong 510632, China;2. The Global Centre for Banking and Financial Innovation, Nottingham University Business School, University of Nottingham, Jubilee Campus, Nottingham NG8 1BB, United Kingdom of Great Britain and Northern Ireland;3. Othman Yeop Abdullah Graduate School of Business (OYAGSB), University Utara Malaysia, UUM Sintok, Kedah, Malaysia;4. School of Law, Social and Behavioural Sciences, Kingston University, Penryhn Road, Kingston upon Thames, Surrey KT1 2EE, United Kingdom of Great Britain and Northern Ireland;1. Department of Statistics and Actuarial Science, Simon Fraser University, 8888 University Drive, Burnaby, British Columbia, V5A 1S6, Canada;2. Department of Mathematics, Université du Québec à Montréal, 201 Président-Kennedy Avenue, Montréal, Québec, H2X 3Y7, Canada;3. Department of Decision Sciences, HEC Montréal, 3000 Côte-Sainte-Catherine Road, Montréal, Québec, H3T 2A7, Canada
Abstract:
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