Option valuation with conditional skewness

Journal of Econometrics

Volumn 131, Issue 1-2, 2006, Pages 253-284

  Christoffersen, Peter ^a   Heston, Steve ^b   Jacobs, Kris ^a  

^a MCGILL UNIVERSITY   (Canada)

^b UNIVERSITY OF MARYLAND   (United States)

Author keywords

Continuous time limit; Discrete time model; GARCH; Jumps; Out of sample

Indexed keywords

COSTS; DISCRETE TIME CONTROL SYSTEMS; GAUSSIAN NOISE (ELECTRONIC); MATHEMATICAL MODELS;

CONTINUOUS-TIME LIMIT; DISCRETE-TIME MODEL; GARCH; JUMPS; OUT-OF-SAMPLE;

INDUSTRIAL ECONOMICS;

EID: 33644553173     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.010     Document Type: Conference Paper

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