Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation
Q Wang, Q Zhang, Z Wang, Y Zhang - The Journal of Derivatives, 2024 - pm-research.com
This article introduces a class of generative models based on the (G) ARCH-like continuous-
time framework to unify econometric and diffusion-based methods for pricing European …
time framework to unify econometric and diffusion-based methods for pricing European …
Pricing CBOE VIX in non-affine GARCH models with variance risk premium
C Tong - Finance Research Letters, 2024 - Elsevier
The commonly used local risk-neutral valuation relationship (LRNVR) for non-affine GARCH
models only compensates for the equity risk premium. In this paper, we propose a direct …
models only compensates for the equity risk premium. In this paper, we propose a direct …