The continuous limit of weak GARCH
Carol Alexander and Emese Lazar
| Year of publication: |
2021
|
|---|---|
| Authors: | Alexander, Carol ; Lazar, Emese |
| Subject: | diffusion limit | implied volatility | option pricing | simulations | Stochastic volatility | time aggregation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Simulation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2020.1799592 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483807