American option pricing under GARCH by a Markov chain approximation

By Jin-Chuan Duan, Jean-Guy Simonato. 2001

157 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2c9755af2b45f0cf761cfa5965b4093aef233850

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Peter H. Ritchken
2. Ivilina Popova
3. Jin-Chuan Duan
4. Whye Loon Tung
5. Hiok Chai Quek
6. Luc Laeven
7. Alexandru Badescu
8. R. Kulperger

Citations in the corpus

• Financial volatility trading using a self-organising neural-fuzzy semantic network and option straddle-based approach (2010, background): “Volatility is also a key component in the pricing of derivative securities such as equity options (Duan & Simonato, 2001; Figlewski, 1997; Hull & White, 1987; Noh et al., 1994), where there has been an exponential growth in the trading volume in recent years due to the extensive use of derivatives…”
• GARCH Models (2010, unknown): “Multivariate ARCH models were first considered by Engle, Granger and Kraft (1984), in the guise of the diagonal model.”
• Option pricing under regime switching (2002, methodology): “If one is only interested in the rich family of GARCH option models, then our algorithm provides an alternative to the numerical procedure of Ritchken and Trevor (1999) and Duan and Simonato (1999).”