Warrant pricing under GARCH diffusion model
β Scribed by Wu, Xin-Yu; Ma, Chao-Qun; Wang, Shou-Yang
- Book ID
- 122601256
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 628 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0264-9993
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An option pricing model is developed based on a generalized autoregressive conditional heteroskedastic (GARCH) asset return process with stable Paretian innovations. Our approach is based on t,he locally risk-neutral valuation relationship. Methods for maximum likelihood estimation of GARCH-stable
## Abstract This study proposes an __N__ βstate Markovβswitching general autoregressive conditionally heteroskedastic (MSβGARCH) option model and develops a new lattice algorithm to price derivatives under this framework. The MSβGARCH option model allows volatility dynamics switching between differ