Option valuation with co-integrated asset prices

DOI10.1016/S0165-1889(03)00042-3zbMath1179.91261MaRDI QIDQ951492

Jin-Chuan Duan, Stanley R. Pliska

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

GARCHco-integrationspread optionsdiffusion limitoption valuation

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)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Augmented GARCH\((p,q)\) process and its diffusion limit
• ARCH models as diffusion approximations
• THE GARCH OPTION PRICING MODEL
• Option Pricing in ARCH-type Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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