American option pricing under GARCH by a Markov chain approximation (Q5941429)

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scientific article; zbMATH DE number 1635622
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American option pricing under GARCH by a Markov chain approximation
scientific article; zbMATH DE number 1635622

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    American option pricing under GARCH by a Markov chain approximation (English)
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    20 August 2001
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    American options
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    GARCH option pricing model
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    asset price process
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    Markov chain
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