American option pricing under GARCH by a Markov chain approximation (Q5941429)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1635622
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | American option pricing under GARCH by a Markov chain approximation |
scientific article; zbMATH DE number 1635622 |
Statements
American option pricing under GARCH by a Markov chain approximation (English)
0 references
20 August 2001
0 references
American options
0 references
GARCH option pricing model
0 references
asset price process
0 references
Markov chain
0 references
0 references
0 references
0.8336124420166016
0 references
0.8288185596466064
0 references
0.8165590167045593
0 references
0.7925780415534973
0 references
