A lattice model for option pricing under GARCH-jump processes

DOI10.1007/S11147-012-9087-8zbMath1312.91088OpenAlexW1969392474MaRDI QIDQ385653

Jr-Yan Wang, Mao-Wei Hung, Bing-Huei Lin, Ping-Da Wu

Publication date: 2 December 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-012-9087-8

zbMATH Keywords

option pricingGARCH processlattice modeljump-diffusion processGARCH-jump process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A lattice approach for option pricing under a regime-switching GARCH-jump model ⋮ Lattice-based hedging schemes under GARCH models

Cites Work

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