Work

Pricing American options when the underlying asset follows GARCH processes

Year: 2005

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2004.08.001

Author: Lars Stentoft

Institution: Aarhus University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2017221293

FWCI: 6.831

Cites: 47

Cited by: 71

Related to: 10