Analytical formula for pricing European options with stochastic volatility under the GARCH-PDE approximation
Qi Wang, Qian Zhang, Zerong Wang and Yuanyuan Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Wang, Qi ; Zhang, Qian ; Wang, Zerong ; Zhang, Yuanyuan |
| Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 31.2024, 4, p. 98-124
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| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | CAPM | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jod.2024.1.203 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015200172