Search Results - subject:"GARCH diffusion model"

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Pricing vulnerable options with stochastic volatility and stochastic interest rate

Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429

Persistent link: https://www.econbiz.de/10012272041

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

Warrant pricing under GARCH diffusion model

Wu, Xin-Yu; Ma, Chao-Qun; Wang, Shou-Yang - In: Economic Modelling 29 (2012) 6, pp. 2237-2244

The GARCH diffusion model has attracted a great deal of attention in recent years, as it is able to describe financial … underlying asset follows the GARCH diffusion model. An analytical approximate solution for European option prices is derived by … enables us to investigate the volatility smile implied by the GARCH diffusion model. Then a method is developed to provide the …

Persistent link: https://www.econbiz.de/10010588253