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American option pricing under GARCH with non-normal innovations

Simonato, Jean-Guy

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American option pricing under GARCH with non-normal innovations

Simonato, Jean-Guy

American option pricing under GARCH with non-normal innovations

Simonato, Jean-Guy

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Title:

American option pricing under GARCH with non-normal innovations

Additional title:

Optim Eng

Contributors:

Simonato, Jean-Guy (author)

Published in:

Optimization and Engineering ; 20 ; 853-880

Publication date:

2019-09-01

ISSN:

1573-2924

DOI:

https://doi.org/10.1007/s11081-019-09421-w

Type of media:

Article (Journal)

Type of material:

Electronic Resource

Language:

English

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