Dynamic programming approach for valuing options in the GARCH model

DOI10.1287/MNSC.1080.0925MaRDI QIDQ3117795zbMATH OpenOpenAlexFDO

Authors Hatem Ben-Ameur, Michèle Breton, Juan-Manuel Martinez

Publication date 1 March 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.1080.0925

zbMATH Keywords

dynamic programmingfinance asset pricingMarkov infinite state

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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