Pages that link to "Item:Q5472775"
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The following pages link to APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING (Q5472775):
Displaying 12 items.
- Non-Gaussian GARCH option pricing models and their diffusion limits (Q320097) (← links)
- A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
- An empirical comparison of GARCH option pricing models (Q867119) (← links)
- GARCH option pricing: A semiparametric approach (Q938035) (← links)
- Option valuation with IG-GARCH model and a U-shaped pricing kernel (Q2153632) (← links)
- A realized volatility approach to option pricing with continuous and jump variance components (Q2292059) (← links)
- Learning for infinitely divisible GARCH models in option pricing (Q2699614) (← links)
- LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS (Q2882691) (← links)
- A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS (Q3094327) (← links)
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154) (← links)
- Detecting and modelling the jump risk of CO<sub>2</sub>emission allowances and their impact on the valuation of option on futures contracts (Q5001169) (← links)
