Option pricing for GARCH models with Markov Models

R. Elliot, Tak Kuen Siu, L. Chan

Research output: Contribution to journalArticle

Original languageEnglish
JournalInternational Journal of Theoretical and Applied Finance
Publication statusPublished - 2005

Cite this

@article{1f4e2cefa3524802bffd4726dc5d7b92,
title = "Option pricing for GARCH models with Markov Models",
author = "R. Elliot and Siu, {Tak Kuen} and L. Chan",
year = "2005",
language = "English",
journal = "International Journal of Theoretical and Applied Finance",
issn = "0219-0249",
publisher = "World Scientific Publishing",

}

Option pricing for GARCH models with Markov Models. / Elliot, R.; Siu, Tak Kuen; Chan, L.

In: International Journal of Theoretical and Applied Finance, 2005.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Option pricing for GARCH models with Markov Models

AU - Elliot, R.

AU - Siu, Tak Kuen

AU - Chan, L.

PY - 2005

Y1 - 2005

M3 - Article

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

SN - 0219-0249

ER -