The following pages link to THE GARCH OPTION PRICING MODEL (Q3125789):
Displayed 36 items.
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis (Q596915) (← links)
- On pricing of credit spread options (Q704058) (← links)
- A GARCH option pricing model with \(\alpha\)-stable innovations (Q704080) (← links)
- An empirical comparison of GARCH option pricing models (Q867119) (← links)
- Jump diffusion model with application to the Japanese stock market (Q929689) (← links)
- Pricing bivariate option under GARCH processes with time-varying copula (Q931205) (← links)
- GARCH option pricing: A semiparametric approach (Q938035) (← links)
- Hedging options under transaction costs and stochastic volatility (Q951343) (← links)
- Option valuation with co-integrated asset prices (Q951492) (← links)
- Score test of fit for composite hypothesis in the GARCH\((1,1)\) model (Q958816) (← links)
- Smoothly truncated stable distributions, GARCH-models, and option pricing (Q1028530) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059) (← links)
- Monte Carlo methods for security pricing (Q1391435) (← links)
- Empirical assessment of an intertemporal option pricing model with latent variables. (Q1398969) (← links)
- The GARCH-stable option pricing model (Q1600540) (← links)
- Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities (Q1853221) (← links)
- The pricing of options for securities markets with delayed response (Q2372448) (← links)
- Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing (Q2389909) (← links)
- Tracking volatility (Q2432948) (← links)
- Bivariate option pricing using dynamic copula models (Q2567092) (← links)
- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS (Q3502980) (← links)
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance (Q3518490) (← links)
- STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING (Q3523537) (← links)
- Ant Colony Optimization for Option Pricing (Q3627046) (← links)
- CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE (Q3637886) (← links)
- Options and earnings announcements: an empirical study for the European Options Exchange (Q4715793) (← links)
- Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications (Q4781081) (← links)
- Realistic Statistical Modelling of Financial Data (Q4831974) (← links)
- A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL (Q5386318) (← links)
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING (Q5487827) (← links)
- On accurate and provably efficient GARCH option pricing algorithms (Q5697325) (← links)
- Contemporaneous asymmetry in GARCH processes (Q5932779) (← links)
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis (Q5938035) (← links)
- American option pricing under GARCH by a Markov chain approximation (Q5941429) (← links)