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An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility
Su, Yong-chern
;
Chen, Ming-da
;
Huang, Han-Ching
- In:
Applied financial economics
20
(
2010
)
10/12
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pp. 899-910
Persistent link: https://www.econbiz.de/10009009807
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GJR-GARCH model in value-at-risk of financial holdings
Su, Yong-chern
;
Huang, Han-Ching
;
Lin, Y. J.
- In:
Applied financial economics
21
(
2011
)
22/24
,
pp. 1819-1829
Persistent link: https://www.econbiz.de/10009384759
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