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CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE - MaRDI portal

CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE (Q3637886)

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CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
scientific article

    Statements

    title
    CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE (English)
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    author
    Yazhen Wang
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    Jian Zou
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    Jin-Chuan Duan
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    publication date
    14 July 2009
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    zbMATH Keywords
    convergence rate
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    European option
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    stochastic volatility
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    Identifiers

    zbMATH DE Number
    5578188
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