Simple approximations for option pricing under mean reversion and stochastic volatility

DOI10.1007/BF03354602zbMath1039.91026MaRDI QIDQ1424642

Christian M. Hafner

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

geometric Brownian motionGARCH processmean-reverting process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Generalized autoregressive conditional heteroscedasticity
• ARCH models as diffusion approximations
• Testing for linear autoregressive dynamics under heteroskedasticity
• A Theory of the Term Structure of Interest Rates
• Unnamed Item
• Unnamed Item

This page was built for publication: Simple approximations for option pricing under mean reversion and stochastic volatility