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The continuous limit of weak GARCH - MaRDI portal

The continuous limit of weak GARCH (Q5861045)

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scientific article; zbMATH DE number 7484565
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English
The continuous limit of weak GARCH
scientific article; zbMATH DE number 7484565

    Statements

    title
    The continuous limit of weak GARCH (English)
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    author
    Carol Alexander
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    Emese Lazar
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    publication date
    4 March 2022
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    zbMATH Keywords
    stochastic volatility
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    time aggregation
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    diffusion limit
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    option pricing
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    implied volatility
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    simulations
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62P20
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    62P05
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    91B84
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    91G20
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    zbMATH DE Number
    7484565
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    OpenAlex ID
    W3046972800
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    arXiv ID
    1808.09152
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