Open AccessA numerical study on option pricing based on GARCH models with normal mixture errors
Author(s) -
Sangman Jeong,
Tae Wook Lee
Publication year - 2017
Publication title -
journal of the korean data and information science society
Language(s) - English
Resource type - Journals
ISSN - 1598-9402
DOI - 10.7465/jkdi.2017.28.2.251
Subject(s) - autoregressive conditional heteroskedasticity , black–scholes model , valuation of options , volatility (finance) , econometrics , kurtosis , economics , monte carlo methods for option pricing , mathematics , statistics