Dynamic Programming Approach for Valuing Options in the GARCH Model
Year of publication: |
2009
|
---|---|
Authors: | Ben-Ameur, Hatem ; Breton, Michèle ; Martinez, Juan-Manuel |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 55.2009, 2, p. 252-266
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | dynamic programming | applications | finance | asset pricing | Markov | infinite state |
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