LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS...

International Journal of Theoretical and Applied Finance 2012 / 03 Vol. 15; Iss. 2

LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS

KAO, LIE-JANE
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Volume:
15
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S021902491250015X
Date:
March, 2012
File:
PDF, 263 KB
english, 2012
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