Adelaide Research & Scholarship
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https://hdl.handle.net/2440/100869
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Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Badescu, A. | - |
| dc.contributor.author | Elliott, R. | - |
| dc.contributor.author | Ortega, J. | - |
| dc.date.issued | 2015 | - |
| dc.identifier.citation | European Journal of Operational Research, 2015; 247(3):820-830 | - |
| dc.identifier.issn | 0377-2217 | - |
| dc.identifier.issn | 1872-6860 | - |
| dc.identifier.uri | http://hdl.handle.net/2440/100869 | - |
| dc.description.abstract | Abstract not available | - |
| dc.description.statementofresponsibility | Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega | - |
| dc.language.iso | en | - |
| dc.publisher | Elsevier B.V. | - |
| dc.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. | - |
| dc.source.uri | http://dx.doi.org/10.1016/j.ejor.2015.06.046 | - |
| dc.subject | Finance; non-Gaussian GARCH models, extended Girsanov principle; conditional Esscher transform; bivariate diffusion limit | - |
| dc.title | Non-Gaussian GARCH option pricing models and their diffusion limits | - |
| dc.type | Journal article | - |
| dc.identifier.doi | 10.1016/j.ejor.2015.06.046 | - |
| dc.relation.grant | ARC | - |
| pubs.publication-status | Published | - |
| Appears in Collections: | Aurora harvest 7 Mathematical Sciences publications | |
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