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Continuous Time Approximations to GARCH and Stochastic Volatility Models

  • Alexander M. LindnerEmail author
Chapter

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 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Technische Universität BraunschweigInstitut für Mathematische StochastikPockelsstrasseBraunschweig

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