American option pricing under GARCH by a Markov chain approximation

DOI10.1016/S0165-1889(00)00003-8zbMath0981.91041OpenAlexW2042674722WikidataQ126551164 ScholiaQ126551164MaRDI QIDQ5941429

Jean-Guy Simonato, Jin-Chuan Duan

Publication date: 20 August 2001

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(00)00003-8

zbMATH Keywords

Markov chainAmerican optionsasset price processGARCH option pricing model

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• ARCH modeling in finance. A review of the theory and empirical evidence
• 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
• Option Pricing in ARCH-type Models
• Mortgages and Markov Chains: A Simplified Evaluation Model
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹

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