THE GARCH OPTION PRICING MODEL (Q3125789)

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THE GARCH OPTION PRICING MODEL
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    title
    THE GARCH OPTION PRICING MODEL (English)
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    author
    Jin-Chuan Duan
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    publication date
    20 March 1997
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    Mathematics Subject Classification ID
    91G20
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    62M10
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    91B84
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    zbMATH DE Number
    993422
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    zbMATH Keywords
    GARCH process
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    heteroskedasticity
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    pricing measure
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    option pricing
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    delta formula
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    Black-Scholes model
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