Michael Hanke

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  • D I P L O M A R B E I T, Anleitung Von, O Univ, Ing Techn Dipl, Raidl Günther, Univ +2 others
  • 2005
This master thesis describes how to price options by means of Genetic Programming. The underlying model is the Generalized Autoregressive Conditional Heteroskedastic (GARCH) asset return process. The goal of this master thesis is to find a closed-form solution for the price of European call options where the underlying securities follow a GARCH process. The(More)
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