Adelaide Research & Scholarship
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https://hdl.handle.net/2440/100869
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| Type: | Journal article |
| Title: | Non-Gaussian GARCH option pricing models and their diffusion limits |
| Author: | Badescu, A. Elliott, R. Ortega, J. |
| Citation: | European Journal of Operational Research, 2015; 247(3):820-830 |
| Publisher: | Elsevier B.V. |
| Issue Date: | 2015 |
| ISSN: | 0377-2217 1872-6860 |
| Statement of Responsibility: | Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega |
| Abstract: | Abstract not available |
| Keywords: | Finance; non-Gaussian GARCH models, extended Girsanov principle; conditional Esscher transform; bivariate diffusion limit |
| Rights: | © 2015 Elsevier B.V. and Association of European Operational Research Societies ( EURO ) within the International Federation of Operational Research Societies (IFORS). All rights reserved. |
| DOI: | 10.1016/j.ejor.2015.06.046 |
| Grant ID: | ARC |
| Published version: | http://dx.doi.org/10.1016/j.ejor.2015.06.046 |
| Appears in Collections: | Aurora harvest 7 Mathematical Sciences publications |
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