American option pricing under GARCH diffusion model: an empirical study (Q741895)
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scientific article; zbMATH DE number 6344514
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| English | American option pricing under GARCH diffusion model: an empirical study |
scientific article; zbMATH DE number 6344514 |
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American option pricing under GARCH diffusion model: an empirical study (English)
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15 September 2014
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American option
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efficient importance sampling
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GARCH diffusion model
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least-squares Monte Carlo
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maximum likelihood
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0.8112697005271912
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0.7906919121742249
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0.7822877764701843
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0.7817266583442688
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0.7809239625930786
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