Pricing Options under Generalized GARCH and Stochastic Volatility Processes
Pricing Options under Generalized GARCH and Stochastic Volatility Processes
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DOI：
10.1111/0022-1082.00109
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发表时间：
1999-02
影响因子：
8
通讯作者：
P. Ritchken;R. Trevor
中科院分区：
文献类型：
--
作者：
P. Ritchken;R. Trevor
在本文中，我们开发了一个有效的格型算法来定价离散时间Gestival过程下的欧式和美式期权。我们表明，该算法很容易扩展到广义Gesthem过程下的期权价格，许多现有的随机波动率二元扩散模型出现的极限情况。我们建立了一个统一的算法，可以在几乎所有现有的Gestival规范下，以及在一个大家庭的二元扩散，波动遵循自己的，也许相关的过程中的期权定价。美国金融协会版权所有，1999年。
In this paper, we develop an efficient lattice algorithm to price European and American options under discrete time GARCH processes. We show that this algorithm is easily extended to price options under generalized GARCH processes, with many of the existing stochastic volatility bivariate diffusion models appearing as limiting cases. We establish one unifying algorithm that can price options under almost all existing GARCH specifications as well as under a large family of bivariate diffusions in which volatility follows its own, perhaps correlated, process. Copyright The American Finance Association 1999.