Integral Time Counter Simulations of GARCH for Option Pricing

Integral Time Counter Simulations of GARCH for Option Pricing Authors- Bitakwate Jackila Eliot Abstract-This paper displays derivation of the univariate and multivariate GARCH(1,1) model. The Stochastic Discount Factor and conditional Esscher transform were used as techniques to de- rive the ... Read More »

Authors

Publication Details

Journal
International Journal of Science Engineering and Technology
Published
2024-10-15
DOI
https://doi.org/10.61463/ijset.vol.12.issue5.294
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00
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article

Integral Time Counter Simulations of GARCH for Option Pricing

Bitakwate Jackila Eliot
International Journal of Science Engineering and Technology
Stochastic processes and financial applications
article

Integral Time Counter Simulations of GARCH for Option Pricing

Bitakwate Jackila Eliot
article en

Abstract

Integral Time Counter Simulations of GARCH for Option Pricing Authors- Bitakwate Jackila Eliot Abstract-This paper displays derivation of the univariate and multivariate GARCH(1,1) model. The Stochastic Discount Factor and conditional Esscher transform were used as techniques to de- rive the ... Read More »

International Journal of Science Engineering and TechnologyVol. 12(5)
Openalex Percentile: Top 72%
Stochastic processes and financial applications
DOISourceOpenAlex
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Integral Time Counter Simulations of GARCH for Option Pricing — Bitakwate Jackila Eliot · International Journal of Science Engineering and Technology (2024) | TGRS Research Map | TGRS