Pricing claims under GARCH-level dependent interest rate processes

DOI10.1287/MNSC.47.12.1693.10238zbMATH Open1232.91658OpenAlexW2162404320MaRDI QIDQ3114752FDOQ3114752

Authors: Viswanath Cvsa, Peter Ritchken 

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b69681a8f45b9ce8e7a053aaf37b63a7f7c25786

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zbMATH Keywords

option pricinginterest rate claimsGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (3)

• A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
• Pricing of interval-on-maturity financial products under the ARMA volatility models
• Title not available (Why is that?)

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