Convergence speed of GARCH option price to diffusion option price
Jin-Chuan Duan; Yazhen Wang; Jian Zou
| Year of publication: |
2009
|
|---|---|
| Authors: | Duan, Jin-Chuan ; Wang, Yazhen ; Zou, Jian |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 3, p. 359-391
|
| Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Theorie | Theory |
| 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/10003867411