The continuous limit of weak GARCH (Q5861045)
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scientific article; zbMATH DE number 7484565
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The continuous limit of weak GARCH |
scientific article; zbMATH DE number 7484565 |
Statements
The continuous limit of weak GARCH (English)
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4 March 2022
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stochastic volatility
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time aggregation
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diffusion limit
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option pricing
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implied volatility
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simulations
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0.8361537456512451
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0.8054248094558716
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0.8038533329963684
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0.8027844429016113
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0.8020952343940735
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