On practitioners closed-form GARCH option pricing-Reference-Cited by-同舟云学术

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On practitioners closed-form GARCH option pricing

Published:2024-07 Issue: Volume:94 Page:103296
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Mozumder Sharif,Frijns Bart,Talukdar Bakhtear,Kabir M. Humayun

Publisher

Elsevier BV

Reference35 articles.

1. ARCH processes and option valuation;Amin,1993

2. C++ for financial mathematics;Armstrong,2017

3. On the computation of hedging strategies in affine GARCH models;Augustyniak;Journal of Futures Markets,2021

4. A GARCH option pricing model with filtered historical simulation;Barone-Adesi;Review of Financial Studies,2008

5. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

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