An option pricing formula for the GARCH diffusion model

Computational Statistics and Data Analysis

Volumn 49, Issue 2, 2005, Pages 287-310

  Barone Adesi, Giovanni ^a   Rasmussen, Henrik ^b   Ravanelli, Claudia ^a  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Implied volatility; Monte Carlo methods; Option pricing; Stochastic volatility models

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; FINANCE; MATHEMATICAL MODELS; MONTE CARLO METHODS; RANDOM PROCESSES;

GARCH DIFFUSION MODELS; IMPLIED VOLATILITY; OPTION PRICING; STOCHASTIC VOLATILITY MODELS;

STATISTICAL METHODS;

EID: 17644389572     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2004.05.014     Document Type: Article

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