An option pricing formula for the GARCH diffusion model
| Year of publication: |
2005
|
|---|---|
| Authors: | Barone-Adesi, Giovanni ; Rasmussen, Henrik ; Ravanelli, Claudia |
| Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 49.2005, 2, p. 287-310
|
| Publisher: |
Elsevier |