Non-Gaussian GARCH option pricing models and their diffusion limits
| dc.contributor.author | Badescu, A. | |
| dc.contributor.author | Elliott, R. | |
| dc.contributor.author | Ortega, J. | |
| dc.date.issued | 2015 | |
| dc.description.abstract | Abstract not available | |
| dc.description.statementofresponsibility | Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega | |
| dc.identifier.citation | European Journal of Operational Research, 2015; 247(3):820-830 | |
| dc.identifier.doi | 10.1016/j.ejor.2015.06.046 | |
| dc.identifier.issn | 0377-2217 | |
| dc.identifier.issn | 1872-6860 | |
| dc.identifier.uri | http://hdl.handle.net/2440/100869 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier B.V. | |
| dc.relation.grant | ARC | |
| dc.rights | © 2015 Elsevier B.V. and Association of European Operational Research Societies ( EURO ) within the International Federation of Operational Research Societies (IFORS). All rights reserved. | |
| dc.source.uri | http://dx.doi.org/10.1016/j.ejor.2015.06.046 | |
| dc.subject | Finance; non-Gaussian GARCH models, extended Girsanov principle; conditional Esscher transform; bivariate diffusion limit | |
| dc.title | Non-Gaussian GARCH option pricing models and their diffusion limits | |
| dc.type | Journal article | |
| pubs.publication-status | Published |
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