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An Option Pricing Formula for the GARCH diffusion model

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  • Giovanni Barone-Adesi
  • Claudia Ravanelli
  • Henrik Rasmussen

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  • Giovanni Barone-Adesi & Claudia Ravanelli & Henrik Rasmussen, 2003. "An Option Pricing Formula for the GARCH diffusion model," OFRC Working Papers Series 2003mf07, Oxford Financial Research Centre.
    • Handle: RePEc:sbs:wpsefe:2003mf07
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    File URL: http://www.finance.ox.ac.uk/file_links/finecon_papers/2003mf07.pdf
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    Cited by:

    1. Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
    2. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, Department of Economics and Business Economics, Aarhus University.

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