Pricing Claims Under GARCH-Level Dependent Interest Rate Processes

DOI10.1287/mnsc.47.12.1693.10238zbMath1232.91658OpenAlexW2162404320MaRDI QIDQ3114752

Viswanath Cvsa, Peter H. Ritchken

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b69681a8f45b9ce8e7a053aaf37b63a7f7c25786

zbMATH Keywords

option pricinginterest rate claimsGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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