Convergence speed of GARCH option price to diffusion option price
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 |
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