Open access
Oct 2026
ON THE RELATION BETWEEN DISCRETE- AND CONTINUOUS-TIME AFFINE OPTION PRICING MODELS
This article studies the weak convergence of discrete-time generalized autoregressive conditional heteroskedasticity (GARCH) and stochastic volatility (SV) option pricing models that allow for fat tails, multi-component volatilities, and non-monotonic pricing kernels. We introduce a general affine framework that enable...
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin et al.
· Econometric Theory · 0 citations