A GARCH option pricing model with filtered historical simulation
Year of publication: |
2008
|
---|---|
Authors: | Barone-Adesi, Giovanni ; Engle, Robert F. ; Mancini, Loriano |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 21.2008, 3, p. 1223-1258
|
Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Simulation | Schätzung | Estimation | Theorie | Theory | USA | United States | 2002-2004 |
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