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

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search