Doctoral thesis

An option pricing formula for the GARCH diffusion model

  • Ravanelli, Claudia
  • Barone-Adesi, Giovanni (degree supervisor)
  • Chesney, Marc (degree committee member)
  • Vanini, Paolo (degree committee member)
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    30.03.2003

72 p

Thèse de doctorat: Università della Svizzera italiana, 2003 (jury note: Summa cum laude)

English In this thesis, we derive an analytical closed-form approximation for European option prices under the GARCH diffusion model, where the price is driven by a geometric process and the variance by an uncorrelated mean reverting geometric process. This result has several important implications. First and foremost, these conditional moments allow us to obtain an analytical closed-form... Show more…
Language
  • English
Classification
Economics
License
License undefined
Identifiers
Persistent URL
https://susi.usi.ch/usi/documents/318035