Giovanni Barone‐Adesi; Giannopoulos, Kostas; Vosper, Les - In: Journal of Futures Markets 19 (1999) 5, pp. 583-602
We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. Our methodology takes implicitly into account assets’ correlations...