Pricing American options when the underlying asset follows GARCH processes
Year of publication: |
2005
|
---|---|
Authors: | Stentoft, Lars |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 12.2005, 4, p. 576-611
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | USA | United States |
-
Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh, (2022)
-
Volatility analysis of Shanghai composite index and financial crises
Sheraz, Muhammad, (2016)
-
Drawbacks and limitations of Black-Scholes model for options pricing
Janková, Zuzana, (2018)
- More ...
-
Smile‐implied hedging with volatility risk
François, Pascal, (2021)
-
American option pricing with importance sampling and shifted regressions
Boire, Francois-Michel, (2021)
-
Efficient variance reduction for American call options using symmetry arguments
Boire, François-Michel, (2021)
- More ...