Open AccessOption Valuation with Long-run and Short-run Volatility Components
Author(s) -
Peter Christoffersen,
Kris Jacobs,
Yintian Wang
Publication year - 2005
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.686821
Subject(s) - volatility (finance) , valuation (finance) , econometrics , implied volatility , affine transformation , economics , forward volatility , stochastic volatility , computer science , benchmark (surveying) , financial economics , mathematics , finance , geography , geodesy , pure mathematics
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