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Stochastic volatility in financial markets : crossing the bridge to continuous time
Fornari, Fabio; Mele, Antonio - 2000
Persistent link: https://www.econbiz.de/10001464294
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Ökonomische und ökonometrische Analyse der Bewertung von Optionen unter stochastischer Volatilität
Schmitt, Christian - 1999
Persistent link: https://www.econbiz.de/10001531425
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Lookback and barrier options : a comparison between black-scholes and ABC pricing
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - In: Finance : revue de l'Association Française de Finance 20 (1999) 2, pp. 143-152
Persistent link: https://www.econbiz.de/10001544338
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An analytical approximation for the GARCH option pricing model
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of computational finance 2 (1999) 4, pp. 75-116
Persistent link: https://www.econbiz.de/10001517300
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The GARCH option pricing model : a lattice approach
Cakici, Nusret; Topyan, Kudret - In: The journal of computational finance 3 (2000) 4, pp. 71-85
Persistent link: https://www.econbiz.de/10001517434
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Option pricing in arch-type models
Kallsen, Jan - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 13-26
Persistent link: https://www.econbiz.de/10001240800
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A note on hedging in ARCH and stochastic volatility option pricing models
Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161
Persistent link: https://www.econbiz.de/10001242838
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Analytic derivatives and the computation of GARCH estimates
Fiorentini, Gabriele; Calzolari, Giorgio; Panattoni, Lorenzo - 1995
Persistent link: https://www.econbiz.de/10000924232
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
Persistent link: https://www.econbiz.de/10001413478
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Capital standard, forbearance and deposit insurance pricing under GARCH
Duan, Jin-Chuan; Yu, Min-Teh - In: Journal of banking & finance 23 (1999) 11, pp. 1691-1706
Persistent link: https://www.econbiz.de/10001415173