A Black-Scholes model with GARCH volatility (Q3589539)
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scientific article; zbMATH DE number 5788575
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Black-Scholes model with GARCH volatility |
scientific article; zbMATH DE number 5788575 |
Statements
20 September 2010
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GARCH volatility
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Black-Scholes formula
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GARCH option pricing
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Monte Carlo
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0.8513755798339844
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0.8448537588119507
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0.8281547427177429
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0.8098880052566528
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0.8010533452033997
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