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American option pricing under GARCH by a Markov chain approximation

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Author Info
Duan, Jin-Chuan
Simonato, Jean-Guy

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 25 (2001)
Issue (Month): 11 (November)
Pages: 1689-1718
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Handle: RePEc:eee:dyncon:v:25:y:2001:i:11:p:1689-1718

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  1. Fulop, Andras, 2006. "Feedback Effects of Rating Downgrades," ESSEC Working Papers DR 06016, ESSEC Research Center, ESSEC Business School. [Downloadable!]
  2. Jin-Chuan Duan & Evan Dudley & Geneviève Gauthier & Jean-Guy Simonato, 1999. "Pricing Discretely Monitored Barrier Options by a Markov Chain," CIRANO Working Papers 99s-15, CIRANO. [Downloadable!]
  3. Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics. [Downloadable!]
  4. N. Vijayamohanan Pillai, 2004. "Causality and error correction in Markov chain: Inflation in India revisited," Centre for Development Studies, Trivendrum Working Papers 366, Centre for Development Studies, Trivendrum, India. [Downloadable!]
  5. Leisen, Dietmar P.J., . "Stock Evolution under Stochastic Volatility: A Discrete Approach," Discussion Paper Serie B 407, University of Bonn, Germany, revised May 1999. [Downloadable!]
  6. Jussi Keppo & Lones Smith & Dmitry Davydov, 2006. "Optimal Electoral Timing: Exercise Wisely and You May Live Longer," Cowles Foundation Discussion Papers 1565, Cowles Foundation, Yale University. [Downloadable!]
  7. Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato, 2002. "Seize the Moments: Approximating American Option Prices in the GARCH Framework," Finance 0206005, EconWPA. [Downloadable!]
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