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 10436662. - Vol. 21.2008, 3, p. 1223-1258
|