Dynamic Programming Approach for Valuing Options in the GARCH Model (Q3117795)

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Dynamic Programming Approach for Valuing Options in the GARCH Model
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    title
    Dynamic Programming Approach for Valuing Options in the GARCH Model (English)
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    author
    Hatem Ben-Ameur
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    Michèle Breton
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    Juan-Manuel Martinez
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    publication date
    1 March 2012
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    Mathematics Subject Classification ID
    91G20
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    91G80
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    90C39
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    zbMATH DE Number
    6010227
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    zbMATH Keywords
    dynamic programming
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    finance asset pricing
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    Markov infinite state
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