Option Pricing Under GARCH Processes Using PDE Methods
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Publication:3098308
DOI10.1287/OPRE.1100.0822zbMath1232.91649OpenAlexW2134850437MaRDI QIDQ3098308
Michèle Breton, Javier de Frutos
Publication date: 17 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1100.0822
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Pricing exotic derivatives exploiting structure ⋮ A spectral method for an optimal investment problem with transaction costs under potential utility ⋮ A pseudospectral method for option pricing with transaction costs under exponential utility ⋮ Chebyshev reduced basis function applied to option valuation ⋮ Approximation of Dynamic Programs ⋮ Lattice-based hedging schemes under GARCH models ⋮ Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model
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