Option Pricing Under Autoregressive Random Variance Models

DOI10.1080/10920277.2006.10596248zbMath1479.91416OpenAlexW1988918895MaRDI QIDQ5018717

Tak Kuen Siu

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2006.10596248

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Option pricing under stochastic volatility models with latent volatility ⋮ Pricing Annuity Guarantees Under a Regime-Switching Model

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