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Option Pricing Under Autoregressive Random Variance Models
Tak Kuen Siu
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Corresponding author for this work
Research output
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Article
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peer-review
2
Citations (Scopus)
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Dive into the research topics of 'Option Pricing Under Autoregressive Random Variance Models'. Together they form a unique fingerprint.
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Mathematics
Option Pricing
100%
Stochastic Volatility Model
32%
Discrete-time
29%
Model
27%
Esscher Transform
20%
Equivalent Martingale Measure
18%
Incomplete Markets
17%
Monte Carlo Experiment
14%
Volatility
13%
Pricing
13%
Innovation
12%
Valuation
12%
Simplification
12%
Continuous Time
10%
Jump
10%
Siméon Denis Poisson
9%
Business & Economics
Option Pricing
86%
Discrete-time
42%
Stochastic Volatility Model
31%
Esscher Transform
21%
Equivalent Martingale Measure
20%
Jump
16%
Incomplete Markets
16%
Monte Carlo Experiment
16%
Valuation Model
16%
Call Option
15%
Continuous Time
14%
Innovation
10%
Pricing
9%