Option pricing with conditional GARCH models
type: Item
instance of: scholarly article
title: Option pricing with conditional GARCH models
zbMATH Open document ID: 1487.91135
author: Marcos Escobar Anel
author: Javad Rastegari
author: Lars Stentoft
published in: European Journal of Operational Research
publication date: 2021-06-03T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7354058
zbMATH Keywords: pricing
zbMATH Keywords: GARCH models
zbMATH Keywords: closed form solutions
zbMATH Keywords: Markov chains
zbMATH Keywords: non-normality
MaRDI profile type: Publication
full work available at URL: j.ejor.2020.07.002
OpenAlex ID: W3041106420
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DOI: 10.1016/J.EJOR.2020.07.002
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description: scientific article; zbMATH DE number 7354058