A closed-form GARCH option valuation model
Year of publication: |
2000
|
---|---|
Authors: | Heston, Steven L. ; Nandi, Saikat |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 13.2000, 3, p. 585-625
|
Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Index-Futures | Index futures | USA | United States | 1992-1994 |
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