ARCH Models and Option Pricing: The Continuous Time Connection.

To implement continuous time option pricing models in which ARCH models can be used as direct or indirect approximators of stochastic volatility, we construct continuous time economies exhibiting equilibrium dynamics to which most asymmetric ARCH models converge in distribution as the sample frequency gets infinite.

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Year of publication:	1998
Authors:	Fornari, F. ; Mele, A.
Institutions:	Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
Subject:	PRICING \| ECONOMIC MODELS \| STOCHASTIC MODELS mathematiques et informatique \| avenue de la Republique 9 2001 Nanterre CEDEX. 41p

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Series:	Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
Type of publication:	Book / Working Paper
Classification:	D50 - General Equilibrium and Disequilibrium. General ; D52 - Incomplete Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005618859