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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
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Approximating GARCH-Jump models, jump-diffusion processes, and option pricing
Duan, Jin-Chuan; Ritchken, Peter H.; Sun, Zhiqiang - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 21-52
Persistent link: https://www.econbiz.de/10003336780
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Jump starting GARCH : pricing and hedging options with jumps in returns and volatilities
Duan, Jin-Chuan (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003419274
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An empirical comparison of GARCH option pricing models
Hsieh, K.C.; Ritchken, Peter H. - In: Review of derivatives research 8 (2005) 3, pp. 129-150
Persistent link: https://www.econbiz.de/10003408018
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On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
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On pricing derivatives in the presence of auxiliary state variables
Lin, Junze; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 14 (2006) 2, pp. 29-46
Persistent link: https://www.econbiz.de/10003400049
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On pricing kernels and finite-state variable health Jarrow Morton models
Pennacchi, George G. - In: Review of derivatives research 1 (1996) 1, pp. 87-99
Persistent link: https://www.econbiz.de/10001205609
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Interest rate option pricing with volatility humps
Ritchken, Peter H.; Chuang, Iyuan - In: Review of derivatives research 3 (1999) 3, pp. 237-262
Persistent link: https://www.econbiz.de/10001493259
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The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Ritchken, Peter H. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 25-41
Persistent link: https://www.econbiz.de/10001219431
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On rational jump diffusion models : an approach using potentials
Burnetas, Apostolos N. - In: Review of derivatives research 1 (1997) 4, pp. 325-349
Persistent link: https://www.econbiz.de/10001238756