Title of article
American option pricing under GARCH by a Markov chain approximation
Author/Authors
Jin-Chuan Duan، نويسنده , , Jean-Guy Simonato، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
30
From page
1689
To page
1718
Keywords
Black}Scholes model , American Options , GARCH , Markov chain , Sparsematrix
Journal title
Journal of Economic Dynamics and Control
Serial Year
2001
Journal title
Journal of Economic Dynamics and Control
Record number
237992
Link To Document