An option pricing formula for the GARCH diffusion model.
Giovanni Barone-AdesiHenrik RasmussenClaudia RavanelliPublished in: Comput. Stat. Data Anal. (2005)
Keyphrases
- diffusion model
- option pricing
- black scholes
- black scholes model
- stock price
- anisotropic diffusion
- information diffusion
- exchange rate
- decision analysis
- real option
- diffusion process
- stock exchange
- non stationary
- image segmentation
- data mining
- historical data
- diffusion tensor
- probabilistic inference
- stock market
- life cycle
- decision makers
- social networks