Option pricing with ARIMA-GARCH models of underlying asset returns

DOI10.1007/s10598-018-9425-2zbMath1406.62125OpenAlexW2901050095MaRDI QIDQ1725588

D. S. Ogneva, D. Yu. Golembiovskii

Publication date: 14 February 2019

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-018-9425-2

zbMATH Keywords

ARIMA-GARCH model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Approximations for compound Poisson and Pólya processes
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