An option pricing formula for the GARCH diffusion model (Q957204)

From MaRDI portal
Revision as of 09:56, 10 December 2024 by Import241208061232 (talk | contribs) (Normalize DOI.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
An option pricing formula for the GARCH diffusion model
scientific article

    Statements

    title
    An option pricing formula for the GARCH diffusion model (English)
    0 references
    publication date
    26 November 2008
    0 references
    zbMATH Keywords
    option pricing
    0 references
    stochastic volatility models
    0 references
    implied volatility
    0 references
    Monte Carlo methods
    0 references

    Identifiers

    Mathematics Subject Classification ID
    91G20
    0 references
    62P05
    0 references
    62M05
    0 references
    91G60
    0 references
    65C05
    0 references
    zbMATH DE Number
    5374161
    0 references
    OpenAlex ID
    W3125902053
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q957204&oldid=38551440"
    Powered by MediaWiki