Lattice-based hedging schemes under GARCH models (Q5014202): Difference between revisions

@@ Property / author @@
-Alexandru M. Badescu
@@ Property / author: Alexandru M. Badescu / rank @@
-Normal rank
@@ Property / author @@
+Alexandru M. Badescu
@@ Property / author: Alexandru M. Badescu / 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/10.1080/14697688.2020.1865559
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@@ Property / OpenAlex ID @@
+W3129447669
@@ Property / OpenAlex ID: W3129447669 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic hedging schemes for non-Gaussian GARCH models
+Normal rank
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+Dynamic Programming Approach for Valuing Options in the GARCH Model
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+Option Pricing Under GARCH Processes Using PDE Methods
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+Option pricing for GARCH-type models with generalized hyperbolic innovations
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+Option valuation with conditional skewness
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+THE GARCH OPTION PRICING MODEL
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+American option pricing under GARCH by a Markov chain approximation
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