THE GARCH OPTION PRICING MODEL
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Publication:3125789
DOI10.1111/j.1467-9965.1995.tb00099.xzbMath0866.90031MaRDI QIDQ3125789
Publication date: 20 March 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00099.x
option pricing; Black-Scholes model; GARCH process; heteroskedasticity; pricing measure; delta formula
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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