Pricing accelerated simulation theory of generalized autoregressive conditional heteroskedasticity model

DOI10.11908/J.ISSN.0253-374X.2019.03.019zbMATH Open1438.91156MaRDI QIDQ5196337FDOQ5196337

Authors:

Publication date: 2 October 2019

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zbMATH Keywords

GARCHcontrol variatestochastic volatilityvariance derivatives

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (1)

• Calibration of GARCH models using concurrent accelerated random search

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