On accurate and provably efficient GARCH option pricing algorithms
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Publication:5697325
DOI10.1080/14697680500040157zbMath1118.91356OpenAlexW1969956091MaRDI QIDQ5697325
Publication date: 17 October 2005
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500040157
Applications of statistics to economics (62P20) Numerical methods (including Monte Carlo methods) (91G60) Economic time series analysis (91B84)
Related Items (10)
A lattice approach for option pricing under a regime-switching GARCH-jump model ⋮ An efficient and accurate lattice for pricing derivatives under a jump-diffusion process ⋮ A spectral method for an optimal investment problem with transaction costs under potential utility ⋮ On the construction and complexity of the bivariate lattice with stochastic interest rate models ⋮ The waterline tree for separable local-volatility models ⋮ Efficient pricing of discrete Asian options ⋮ Chebyshev reduced basis function applied to option valuation ⋮ CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE ⋮ American option pricing under GARCH with non-normal innovations ⋮ Lattice-based hedging schemes under GARCH models
Cites Work
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- THE GARCH OPTION PRICING MODEL
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
- The Valuation of Path Dependent Contracts on the Average
- Option pricing: A simplified approach
- American option pricing under GARCH by a Markov chain approximation
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