Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - School of Economics and Management, University of Aarhus - 2009
underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage …
time, in�nite state-space setup using the no-arbitrage principle and an equivalent martin-
gale measure. Our approach … for continuous time models.
JEL Classi�cation: G12
Keywords: GARCH; risk-neutral valuation; no-arbitrage; non …