GARCH options via local risk minimization (Q2873537): Difference between revisions

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+W3122100919
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+.1078
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+Generalized autoregressive conditional heteroscedasticity
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+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
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+Augmented GARCH\((p,q)\) process and its diffusion limit
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+Asymptotic Distribution of the EMS Option Price Estimator
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+Empirical Martingale Simulation for Asset Prices
@@ Property / cites work: Empirical Martingale Simulation for Asset Prices / rank @@
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
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+Bounds for the utility-indifference prices of non-traded assets in incomplete markets
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+Option Pricing in ARCH-type Models
@@ Property / cites work: Option Pricing in ARCH-type Models / rank @@
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+Q5754578
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+Stationarity and the existence of moments of a family of GARCH processes.
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+NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE  GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER  GARCH(<i>r</i>,<i>s</i>) MODELS
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+Option pricing when underlying stock returns are discontinuous
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+Dynamic <i>L <sup>p</sup></i>-Hedging in Discrete Time under Cone Constraints
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+Publication:2873537