"An option pricing formula for the GARCH diffusion model."

Giovanni Barone-Adesi, Henrik Rasmussen, Claudia Ravanelli (2005)

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DOI: 10.1016/J.CSDA.2004.05.014

access: closed

type: Journal Article

metadata version: 2020-02-18

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Giovanni Barone-Adesi, Henrik Rasmussen, Claudia Ravanelli:
An option pricing formula for the GARCH diffusion model. Comput. Stat. Data Anal. 49(2): 287-310 (2005)

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