THE GARCH OPTION PRICING MODEL
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Publication:3125789
DOI10.1111/j.1467-9965.1995.tb00099.xzbMath0866.90031OpenAlexW2025006397MaRDI 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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Stationarity of GARCH processes and of some nonnegative time series
- Generalized autoregressive conditional heteroscedasticity
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Option pricing when underlying stock returns are discontinuous
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