The continuous limit of weak GARCH

DOI10.1080/07474938.2020.1799592zbMath1490.62222arXiv1808.09152OpenAlexW3046972800MaRDI QIDQ5861045

Emese Lazar, Carol Alexander

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.09152

zbMATH Keywords

stochastic volatilityoption pricingsimulationsimplied volatilitytime aggregationdiffusion limit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Temporal aggregation and systematic sampling for INGARCH processes

Cites Work

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