Option pricing with realistic ARCH processes

2013 ◽  
Vol 14 (1) ◽  
pp. 143-170 ◽  
Author(s):  
Gilles Zumbach ◽  
Luis Fernández
Keyword(s):  
Option Pricing ◽  
Arch Processes

Option pricing and ARCH processes

2012 ◽  
Vol 9 (3) ◽  
pp. 144-156 ◽  
Author(s):  
Gilles Zumbach
Keyword(s):  
Option Pricing ◽  
Arch Processes

On empirical likelihood option pricing

2017 ◽  
Vol 19 (5) ◽  
pp. 41-53
Author(s):  
Xiaolong Zhong ◽  
Jie Cao ◽  
Yong Jin ◽  
Wei Zheng
Keyword(s):  
Option Pricing ◽  
Empirical Likelihood

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model

Efficient conservative second-order central-upwind schemes for option-pricing problems

2019 ◽  
Vol 22 (5) ◽  
pp. 71-101 ◽  
Author(s):  
Omishwary Bhatoo ◽  
Arshad Ahmud Iqbal Peer ◽  
Eitan Tadmor ◽  
Desire Yannick Tangman ◽  
Aslam Aly El Faidal Saib
Keyword(s):  
Option Pricing ◽  
Second Order ◽  
Upwind Schemes ◽  
Pricing Problems
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