Fuzzy Levy-GJR-GARCH American Option Pricing Model Based on an Infinite Pure Jump Process
نویسندگان
چکیده
منابع مشابه
Approximating the GJR-GARCH and EGARCH Option Pricing Models Analytically
In Duan, Gauthier and Simonato (1999), an analytical approximate formula for European options in the GARCH framework was developed. The formula is however restricted to the nonlinear asymmetric GARCH model. This paper extends the same approach to two other important GARCH specifications GJR-GARCH and EGARCH. We provide the corresponding formulas and study their numerical performance. keywords: ...
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ژورنال
عنوان ژورنال: IEICE Transactions on Information and Systems
سال: 2018
ISSN: 0916-8532,1745-1361
DOI: 10.1587/transinf.2017edp7236