Option pricing with conditional GARCH models-Reference-Cited by-同舟云学术

Option pricing with conditional GARCH models

Published:2021-02 Issue:1 Volume:289 Page:350-363
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Escobar-Anel Marcos,Rastegari Javad,Stentoft Lars

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference36 articles.

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3. Option valuation with volatility components, fat tails, and nonmonotonic pricing kernels;Babaoğlu;The Review of Asset Pricing Studies,2018

4. Closed-form variance swap prices under general affine GARCH models and their continuous-time limits;Badescu;Annals of Operations Research,2019

5. Non-gaussian GARCH option pricing models and their diffusion limits;Badescu;European Journal of Operational Research,2015

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