An Option Pricing Formula for the GARCH Diffusion Model
Year of publication: |
2004-03-01
|
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Authors: | Barone-Adesi, Giovanni ; Rasmussen, Henrik ; Ravanelli, Claudia |
Institutions: | Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern> |
Subject: | Stochastik | GARCH-Prozess | Optionspreis | option pricing |
Extent: | 30 p. application/pdf |
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Series: | Working Paper ; No. 107 (2004) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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