An option pricing formula for the GARCH diffusion model

DOI10.1016/j.csda.2004.05.014zbMath1429.91313OpenAlexW3125902053MaRDI QIDQ957204

Claudia Ravanelli, Giovanni Barone-Adesi, Henrik Koblitz Rasmussen

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.05.014

zbMATH Keywords

option pricingMonte Carlo methodsimplied volatilitystochastic volatility models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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