American option pricing under GARCH diffusion model: an empirical study
type: Item
instance of: scholarly article
title: American option pricing under GARCH diffusion model: an empirical study
zbMATH Open document ID: 1295.91095
author: Wenyu Yang
author: Xiujuan Zhao
author: Xinyu Wu
author: Chaoqun Ma
published in: Journal of Systems Science and Complexity
publication date: 2014-09-15T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6344514
zbMATH Keywords: American option
zbMATH Keywords: efficient importance sampling
zbMATH Keywords: GARCH diffusion model
zbMATH Keywords: least-squares Monte Carlo
zbMATH Keywords: maximum likelihood
MaRDI profile type: Publication
full work available at URL: s11424-014-3279-2
OpenAlex ID: W2008360001
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DOI: 10.1007/S11424-014-3279-2
description: scientific article; zbMATH DE number 6344514