May

26

I learned today there is an apparently relatively simple and practical option pricing formula for the case when the stock follows a (slightly extended) GARCH(1,1) process.

"Fast Analytic Option Valuation with GARCH" by Thomas Mazzoni, September 2008

I thought it might interest the option theorists on this site.


Comments

WordPress database error: [Table './dailyspeculations_com_@002d_dailywordpress/wp_comments' is marked as crashed and last (automatic?) repair failed]
SELECT * FROM wp_comments WHERE comment_post_ID = '8407' AND comment_approved = '1' ORDER BY comment_date

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search