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"Non-Gaussian GARCH option pricing models and their diffusion limits."

Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega (2015)

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DOI: 10.1016/J.EJOR.2015.06.046

access: closed

type: Journal Article

metadata version: 2024-05-07

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Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega:
Non-Gaussian GARCH option pricing models and their diffusion limits. Eur. J. Oper. Res. 247(3): 820-830 (2015)

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