CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- An approximation of partial sums of independent RV's, and the sample DF. II
- ARCH models as diffusion approximations
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- On accurate and provably efficient GARCH option pricing algorithms
- Stock price distributions with stochastic volatility: an analytic approach
- THE GARCH OPTION PRICING MODEL
Cited in
(4)- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
- Non-Gaussian GARCH option pricing models and their diffusion limits
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- An option pricing formula for the GARCH diffusion model
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