Non-Gaussian GARCH option pricing models and their diffusion limits
Year of publication: |
2015
|
---|---|
Authors: | Badescu, Alexandru ; Elliott, Robert J. ; Ortega, Juan-Pablo |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 247.2015, 3 (16.12.), p. 820-830
|
Subject: | Finance | Non-Gaussian GARCH models | Extended Girsanov principle | Conditional Esscher transform | Bivariate diffusion limit | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
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