Dynamic Programming Approach for Valuing Options in the GARCH Model
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Publication:3117795
DOI10.1287/mnsc.1080.0925zbMath1232.91646MaRDI QIDQ3117795
Hatem Ben-Ameur, Juan-Manuel Martinez, Michèle Breton
Publication date: 1 March 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.1080.0925
90C39: Dynamic programming
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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