American option pricing under GARCH with non-normal innovations (Q2331384)
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scientific article; zbMATH DE number 7123822
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | American option pricing under GARCH with non-normal innovations |
scientific article; zbMATH DE number 7123822 |
Statements
American option pricing under GARCH with non-normal innovations (English)
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29 October 2019
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American options
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GARCH
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Johnson distribution
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quadrature
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0.7955811023712158
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0.7947744727134705
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0.7936060428619385
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0.7925780415534973
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0.7903456687927246
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