Option Valuation with Truncation Models
The research uses the hidden truncation normal distribution and the NGARCH model to price options, incorporating economic dynamics and capturing implied volatility smirk.
Featured in No. 57 on 17 Jul 2024 · on release day
- Released
- 17 Jul 2024
- First featured
- No. 57 · 17 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 11
- Identifier
- RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10480-6
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).