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zbMath1198.91209MaRDI QIDQ3589539

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Publication date: 20 September 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo Black-Scholes formula GARCH volatility GARCH option pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

RCA model with quadratic GARCH innovation distribution ⋮ Stochastic volatility models with application in option pricing

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