THE GARCH OPTION PRICING MODEL (Q3125789): Difference between revisions

@@ Property / author @@
-Jin-Chuan Duan
@@ Property / author: Jin-Chuan Duan / rank @@
-Normal rank
@@ Property / author @@
+Jin-Chuan Duan
@@ Property / author: Jin-Chuan Duan / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.1995.tb00099.x
+Normal rank
@@ Property / OpenAlex ID @@
+W2025006397
@@ Property / OpenAlex ID: W2025006397 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Stationarity of GARCH processes and of some nonnegative time series
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@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3125789