Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media

Francisco Venegas-Martínez and Francisco J. Sánchez Torres
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Francisco J. Sánchez Torres: IPN

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2008, vol. 2, issue 2, 92-103

Abstract: This paper shows, under certain conditions, the convergence of the GARCH (1.1)-M model to the geometric Brownian motion with mean reversion (diffusion GARCH process). The importance from this result is that the problem of inference on the parameters of the valuation models of options with stochastic volatility can be reduced by estimating the model GARCH (1.1)-M. It is also carried out a discussion on the assumptions that ensure the existence and uniqueness of the limit process. Finally, it is provided a quick demonstration of the convergence, which is less formal, but more intuitive and easy to remember

Keywords: Convergencia de procesos estocásticos; valuación de derivados; volatilidad estocástica (search for similar items in EconPapers)
JEL-codes: C13 C22 G13 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200807

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