مرکز منطقه ای اطلاع رساني علوم و فناوري - Pricing American options when the underlying asset follows GARCH processes

Title of article :

Pricing American options when the underlying asset follows GARCH processes

Author/Authors :

Lars Stentoft، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2005

Pages :

From page :

576

To page :

611

Keywords :

Time-varying volatility , GARCH , American Options , Least Squares Monte Carlo

Journal title :

Journal of Empirical Finance

Serial Year :

2005

Journal title :

Journal of Empirical Finance

Record number :

130813

Link To Document :