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GARCH Option Pricing Under Skew by Sofiane Aboura :: SSRN

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Option Pricing Under GARCH Processes Using PDE Methods on JSTOR

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Custom alerts when new content is added. Abstract In this paper, we propose a partial differential equation formulation for the value of an option when the underlying asset price is described by a discrete-time GARCH process.

Our numerical approach involves a spectral Fourier-Chebyshev interpolation. Numerical illustrations are provided, and the results are compared with other available valuation methods.

Our numerical procedure converges exponentially fast and allows for the efficient computation of option prices, achieving a high level of precision in a few seconds of computing time. JSTOR Home About Search Browse Terms and Conditions Privacy Policy Cookies Accessibility Help Contact Us. Loading Processing your request How does it work?