Continuous Time Approximations to GARCH and Stochastic Volatility Models

  • Alexander M. LindnerEmail author


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.


Continuous Time Option Price Stochastic Volatility GARCH Model Stochastic Volatility Model 
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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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