Non-Gaussian GARCH option pricing models and their diffusion limits
type: Item
instance of: scholarly article
title: Non-Gaussian GARCH option pricing models and their diffusion limits
zbMATH Open document ID: 1346.91225
author: Robert J. Elliott
author: Juan-Pablo Ortega
author: Alexandru Badescu
published in: European Journal of Operational Research
publication date: 2016-10-06T00:00:00Z
full work available at URL: BEO garchlimit-SV Revision.pdf
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6633797
zbMATH Keywords: finance
zbMATH Keywords: non-Gaussian GARCH models
zbMATH Keywords: extended Girsanov principle
zbMATH Keywords: conditional Esscher transform
zbMATH Keywords: bivariate diffusion limit
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W3126008443
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DOI: 10.1016/J.EJOR.2015.06.046
description: scientific article; zbMATH DE number 6633797