Barone-Adesi, Giovanni; Rasmussen, Henrik; Ravanelli, … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
The first four conditional moments of the integrated variance implied by the GARCH diffusion process are derived analytically. Based on these moments and on a power series method an analytical approximation formula to price European options under the GARCH diffusion model is obtained. Monte...