Option valuation with IG-GARCH model and a U-shaped pricing kernel.

Christophe Chorro Rahantamialisoa H. Fanirisoa

Published in: Soft Comput. (2020)

Keyphrases

garch model
option pricing
real option
black scholes model
stock market
spot market
stock price
sar images
multivariate time series
financial markets
support vector
short term
heavy tailed
dimension reduction
power plant