Non-Gaussian GARCH option pricing models and their diffusion limits. - Alexandru Badescu; Robert J. Elliott; Juan-Pablo Ortega (Eur. J. Oper. Res., 2015)

Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. - Alexandru Badescu; Zhenyu Cui; Juan-Pablo Ortega (Ann. Oper. Res., 2019)