On accurate and provably efficient GARCH option pricing algorithms (Q5697325): Difference between revisions

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+Generalized autoregressive conditional heteroscedasticity
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+ARCH modeling in finance. A review of the theory and empirical evidence
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+A Theory of the Term Structure of Interest Rates
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+Option pricing: A simplified approach
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+Pricing American Options Fitting the Smile
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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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+American option pricing under GARCH by a Markov chain approximation
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+Convergence of numerical methods for valuing path-dependent options using interpolation
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+Q2768497
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+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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+The Valuation of Path Dependent Contracts on the Average
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