An option pricing formula for the GARCH diffusion model
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Publication:957204
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
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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