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International journal of theoretical and applied finance
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1,430
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321
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1
Convergence speed of GARCH option price to diffusion option price
Duan, Jin-Chuan
;
Wang, Yazhen
;
Zou, Jian
- In:
International journal of theoretical and applied finance
12
(
2009
)
3
,
pp. 359-391
Persistent link: https://www.econbiz.de/10003867411
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2
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
3
Pricing Asian options in affine Garch models
Lorenzo, Mercuri
- In:
International journal of theoretical and applied finance
14
(
2011
)
2
,
pp. 313-333
Persistent link: https://www.econbiz.de/10008992156
Saved in:
4
A numerical method for pricing American-style Asian options under GARCH model
Shao, Dan
- In:
International journal of theoretical and applied finance
9
(
2006
)
8
,
pp. 1323-1350
Persistent link: https://www.econbiz.de/10003397192
Saved in:
5
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
6
Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie Jane
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009624510
Saved in:
7
Detecting and modeling tail dependence
Bellini, Fabio
;
Figà-Talamanca, Gianna
- In:
International journal of theoretical and applied finance
7
(
2004
)
3
,
pp. 269-287
Persistent link: https://www.econbiz.de/10002111461
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8
Exploring the impact of calendar effects on the dynamic structure and forecasts of financial time series
Kyrtsou, Catherine
;
Leontitsis, Alexander
;
Siriopoulos, …
- In:
International journal of theoretical and applied finance
9
(
2006
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10003285858
Saved in:
9
Regime-switched volatility of brent crude oil futures with Markov-switching ARCH model
Chiu, Tien-yu
;
Shieh, Shwu-Jane
- In:
International journal of theoretical and applied finance
12
(
2009
)
2
,
pp. 113-124
Persistent link: https://www.econbiz.de/10003855754
Saved in:
10
The stress-dependent random walk
Gremm, Martin
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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