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~institution:"Central Bank of Luxembourg"
~institution:"Henley Business School, University of Reading"
~subject:"American Options"
~subject:"Implied Calibration"
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Henley Business School, University of Reading
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American Option Valuation: Implied Calibration of
GARCH
Pricing-Models
Weber, Michael
;
Prokopczuk, Marcel
-
Henley Business School, University of Reading
-
2010
This article analyzes the issue of American option valuation when the underlying exhibits a
GARCH
-type volatility …
Persistent link: https://www.econbiz.de/10008542373
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