Learning for infinitely divisible GARCH models in option pricing
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Cites work
- scientific article; zbMATH DE number 1232408 (Why is no real title available?)
- scientific article; zbMATH DE number 1742902 (Why is no real title available?)
- scientific article; zbMATH DE number 2115108 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A New Tempered Stable Distribution and Its Application to Finance
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- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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- Option pricing when underlying stock returns are discontinuous
- Option valuation with conditional skewness
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- Particle learning and smoothing
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- Sequential Monte Carlo Methods in Practice
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