An option pricing formula for the GARCH diffusion model
type: Item
instance of: scholarly article
title: An option pricing formula for the GARCH diffusion model
zbMATH Open document ID: 1429.91313
author: Giovanni Barone-Adesi
author: Claudia Ravanelli
author: Henrik Koblitz Rasmussen
published in: Computational Statistics and Data Analysis
publication date: 2008-11-26T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 5374161
zbMATH Keywords: option pricing
zbMATH Keywords: stochastic volatility models
zbMATH Keywords: implied volatility
zbMATH Keywords: Monte Carlo methods
MaRDI profile type: Publication
full work available at URL: j.csda.2004.05.014
OpenAlex ID: W3125902053
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DOI: 10.1016/J.CSDA.2004.05.014
description: scientific article; zbMATH DE number 5374161