The following pages link to THE GARCH OPTION PRICING MODEL (Q3125789):
Displaying 50 items.
- Econometric specification of stochastic discount factor models (Q278271) (← links)
- Option valuation with conditional skewness (Q292018) (← links)
- Option pricing in a conditional bilateral Gamma model (Q301218) (← links)
- Non-Gaussian GARCH option pricing models and their diffusion limits (Q320097) (← links)
- On data-based optimal stopping under stationarity and ergodicity (Q358137) (← links)
- A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
- Option pricing and hedging under a stochastic volatility Lévy process model (Q437103) (← links)
- Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis (Q596915) (← links)
- Behavioral heterogeneity in the option market (Q609834) (← links)
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process (Q613244) (← links)
- Empirical study of Nikkei 225 options with the Markov switching GARCH model (Q633826) (← links)
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects (Q635177) (← links)
- Esscher transforms and consumption-based models (Q659151) (← links)
- Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (Q659238) (← links)
- A hidden Markov regime-switching model for option valuation (Q661263) (← links)
- On pricing of credit spread options (Q704058) (← links)
- A GARCH option pricing model with \(\alpha\)-stable innovations (Q704080) (← links)
- The fractional multivariate normal tempered stable process (Q714607) (← links)
- A semiparametric stochastic volatility model (Q738174) (← links)
- Approximating stochastic volatility by recombinant trees (Q744390) (← links)
- An empirical comparison of GARCH option pricing models (Q867119) (← links)
- Calibration of GARCH models using concurrent accelerated random search (Q905332) (← links)
- Jump diffusion model with application to the Japanese stock market (Q929689) (← links)
- Pricing bivariate option under GARCH processes with time-varying copula (Q931205) (← links)
- GARCH option pricing: A semiparametric approach (Q938035) (← links)
- Hedging options under transaction costs and stochastic volatility (Q951343) (← links)
- Option valuation with co-integrated asset prices (Q951492) (← links)
- Score test of fit for composite hypothesis in the GARCH\((1,1)\) model (Q958816) (← links)
- Smoothly truncated stable distributions, GARCH-models, and option pricing (Q1028530) (← links)
- Strong consistency of the empirical martingale simulation option price estimator (Q1036915) (← links)
- Option pricing under the Merton model of the short rate (Q1037800) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059) (← links)
- Monte Carlo methods for security pricing (Q1391435) (← links)
- Empirical assessment of an intertemporal option pricing model with latent variables. (Q1398969) (← links)
- The GARCH-stable option pricing model (Q1600540) (← links)
- Volatility smile as relativistic effect (Q1620616) (← links)
- Asymptotic distribution of the EPMS estimator for financial derivatives pricing (Q1623433) (← links)
- Multivariate GARCH estimation via a Bregman-proximal trust-region method (Q1623522) (← links)
- VIX forecast under different volatility specifications (Q1627811) (← links)
- Asynchronous iterations of parareal algorithm for option pricing models (Q1649119) (← links)
- GARCH option pricing models with Meixner innovations (Q1710580) (← links)
- Option pricing with ARIMA-GARCH models of underlying asset returns (Q1725588) (← links)
- Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis (Q1727182) (← links)
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (Q1740295) (← links)
- Modeling record-breaking stock prices (Q1782591) (← links)
- Chebyshev reduced basis function applied to option valuation (Q1789629) (← links)
- Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities (Q1853221) (← links)
