Venegas-Martínez, Francisco; Sánchez-Torres, Francisco J. - In: Revista de Administración, Finanzas y Economía … 2 (2008) 2, pp. 92-103
This paper shows, under certain conditions, the convergence of the GARCH (1.1)-M model to the geometric Brownian motion with mean reversion (diffusion GARCH process). The importance from this result is that the problem of inference on the parameters of the valuation models of options with...