Dynamic Programming Approach for Valuing Options in the GARCH Model
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Cites methods from "Dynamic Programming Approach for Va..."
...The reference solution computed in Ben-Ameur et al. (2009) is 1.0991, and the 95% confidence interval obtained by a least squares Monte Carlo method in Stentoft (2005) is 1 0765 1 1177 ....
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...The reference solution computed in Ben-Ameur et al. (2009) is 1....
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...Lastly, Ben-Ameur et al. (2009) use dynamic programming combined with finite-element interpolation and show that their method supports Markov-chain approximation as a special case....
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...Lastly, Ben-Ameur et al. (2009) use dynamic programming combined with finite-element interpolation and show that their method supports Markov-chain approximation as a special case. The empirical literature on option prices under GARCH includes Duan (1995), Bollerslev and Mikkelsen (1996, 1999), Heston and Nandi (2000), Hsieh and Ritchken (2005), Duan and Zhang (2001), Myers and Hanson (1993), and Christoffersen and Jacobs (2004) for European options; and Stentoft (2005) for American options....
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...As a reference solution, we use the price computed in Ben-Ameur et al. (2009) using a dynamic programming approach with two state variables (price and variance)....
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References
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"Dynamic Programming Approach for Va..." refers methods in this paper
...The GARCH and MGARCH (multivariate GARCH) models were discussed by Bollerslev et al. (1992) and Bera and Higgins (1993), among others....
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