THE GARCH OPTION PRICING MODEL (Q3125789): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 10:49, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE GARCH OPTION PRICING MODEL |
scientific article |
Statements
THE GARCH OPTION PRICING MODEL (English)
0 references
20 March 1997
0 references
GARCH process
0 references
heteroskedasticity
0 references
pricing measure
0 references
option pricing
0 references
delta formula
0 references
Black-Scholes model
0 references
