Continuous Time Approximations to GARCH and Stochastic Volatility Models

Alexander M. Lindner ()
Additional contact information
Alexander M. Lindner: Institut für Mathematische Stochastik, Technische Universität Braunschweig

Chapter 21 in Handbook of Financial Time Series, 2009, pp 481-496 from Springer

Abstract: Abstract We collect some continuous time GARCH models and report on how they approximate discrete time GARCH processes. Similarly, certain continuous time volatility models are viewed as approximations to discrete time volatility models.

Keywords: Continuous Time; Option Price; Stochastic Volatility; GARCH Model; Stochastic Volatility Model (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_21

Ordering information: This item can be ordered from
http://www.springer.com/9783540712978

DOI: 10.1007/978-3-540-71297-8_21

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().