Research graph
References from American option pricing under GARCH by a Markov chain approximation. Local targets link to admitted publications; unresolved targets remain external evidence.
10.1111/j.1540-6261.1993.tb04023.x
10.1111/j.1540-6261.1993.tb04023.x · External reference
Convergence of American option values from discrete- to continuous-time financial models
10.1111/j.1467-9965.1994.tb00059.x · 1994 · External reference
Numerical valuation of high dimensional multivariate American securities
10.2307/2331347 · 1995 · External reference
The pricing of options and corporate liabilities
10.1086/260062 · 1973 · External reference
Generalized autoregressive conditional heteroskedasticity
10.1016/0304-4076(86)90063-1 · 1986 · External reference
ARCH modelling in finance: a review of the theory and empirical evidence
10.1016/0304-4076(92)90064-x · 1992 · External reference
American option valuation: new bounds, approximations, and a comparison of existing methods
10.1093/rfs/9.4.1211 · 1996 · External reference
Enhanced Monte Carlo estimates for American option prices
10.3905/jod.1997.407983 · 1997 · External reference
The GARCH option pricing model
10.1111/j.1467-9965.1995.tb00099.x · 1995 · External reference
Cracking the smile
1996 · External reference
Unresolved reference
External reference
Augmented GARCH(p, q) process and its diffusion limit
10.1016/s0304-4076(97)00009-2 · 1997 · External reference
Unresolved reference
External reference
Unresolved reference
1992 · External reference
Unresolved reference
1986 · External reference
Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation
10.2307/1912773 · 1982 · External reference
Measuring and testing of the impact of news on volatility
10.2307/2329066 · 1993 · External reference
The American puts valued analytically
10.2307/2327741 · 1984 · External reference
Relationship between the expected value and the volatility of the nominal excess return on stocks
10.2307/2329067 · 1993 · External reference
10.2139/ssrn.96651
10.2139/ssrn.96651 · External reference
Analysis of the term structure of implied volatilities
10.2307/2331189 · 1994 · External reference
Unresolved reference
External reference
Option pricing in ARCH-type models
10.1111/1467-9965.00042 · 1998 · External reference
Unresolved reference
External reference
Theory of rational option pricing
10.2307/3003143 · 1973 · External reference
ARCH models as diffusion approximations
10.1016/0304-4076(90)90092-8 · 1990 · External reference
Conditional heteroskedasticity in asset returns: a new approach
10.2307/2938260 · 1991 · External reference
Pricing options under generalized GARCH and stochastic volatility processes
10.1111/0022-1082.00109 · 1999 · External reference
Valuing American options in a path simulation model
1993 · External reference
Mortgages and Markov chains: a simplified evaluation model
10.1287/mnsc.39.6.683 · 1993 · External reference
