CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
From MaRDI portal
Publication:3637886
DOI10.1142/S0219024909005269zbMath1179.91241MaRDI QIDQ3637886
Jian Zou, Yazhen Wang, Jin-Chuan Duan
Publication date: 14 July 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Cites Work
- Unnamed Item
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Generalized autoregressive conditional heteroscedasticity
- ARCH models as diffusion approximations
- THE GARCH OPTION PRICING MODEL
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- An approximation of partial sums of independent RV's, and the sample DF. II
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- On accurate and provably efficient GARCH option pricing algorithms
This page was built for publication: CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
