Option valuation with the simplified component GARCH model
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- Matt P. Dziubinski, 2012. "Conditionally-uniform Feasible Grid Search Algorithm," CREATES Research Papers 2012-03, Department of Economics and Business Economics, Aarhus University.
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KeywordsStochastic volatility; volatility components; GARCH; option pricing.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
- NEP-FMK-2011-03-05 (Financial Markets)
- NEP-ORE-2011-03-05 (Operations Research)
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