Author:
Ogneva D. S.,Golembiovskii D. Yu.
Publisher
Springer Science and Business Media LLC
Subject
Computational Mathematics
Reference30 articles.
1. S. Heston, “A closed-form solution for options with stochastic volatility with applications to bond and currency options,” Rev. Fin. Stud., 6, No. 2, 327–343 (1993).
2. S. Heston and S. Nandi, “A closed form GARCH option pricing model,” Rev. Fin. Stud., 13, No. 3, 585–626 (2000).
3. E. Rossi, “Univariate GARCH models: a survey,” Quantile, 8, No. 8, 1–67 (2010).
4. V. Akgiray, “Conditional heteroscedasticity in time series of stock return: evidence and forecast,” J. Bus., 62, No. 1, 55–80 (1989).
5. A. Patton, Quantitative Finance, Univ. London, London (2011).
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献