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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kallsen, J.; M., Taqqu 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Option Pricing in ARCH-type Models 
Abstract:
ARCH-models have become popular for modelling financial time series. They seem, at first, however, to be incompatible with the option pricing approach of Black, Scholes, Merton et al., because they are discrete-time models and posess too much variability. We show that completeness of the market holds for a broad class of ARCH-type models defined in a suitable continuous-time fashion. As an example we focus on the GARCH(1,1)-M model and obtain, through our method, the same pricing formula as Duan...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Mathematical Finance 
Jahr:
1998 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
13-26 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein