Approximating GARCH-Jump models, jump-diffusion processes, and option pricing
Jin-Chuan Duan; Peter Ritchken; Zhiqiang Sun
| Year of publication: |
2006
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|---|---|
| Authors: | Duan, Jin-Chuan ; Ritchken, Peter H. ; Sun, Zhiqiang |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 16.2006, 1, p. 21-52
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| Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003336780