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Continuous Time Approximations to GARCH and Stochastic Volatility Models · Study

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ChapterContinuous Time Approximations to GARCH and Stochastic Volatility Models

Alexander Lindner2009

Chapter2009

Continuous Time Approximations to GARCH and Stochastic Volatility Models

Alexander Lindner

31 citations·0/0 files stored·Springer eBooks

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2005Stochastic Integration and Differential Equations 1987The Pricing of Options on Assets with Stochastic Volatilities 2003Limit Theorems for Stochastic Processes 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 19965 Stochastic volatility 1987The Pricing of Options on Assets with Stochastic Volatilities

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations31

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-540-71297-8_21

openalex_workW131803255

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