Bianchi, Carlo; Calzolari, Giorgio; Sterbenz, Frederic P. - Volkswirtschaftliche Fakultät, … - 1991
The autoregressive conditional heteroskedasticity (ARCH) estimation procedure provides a specification of the error … using ARCH. Then the stochastic simulation methodology is extended to the ARCH process and Treasury Bond call options are … small effect, while the different simulation procedures have a large effect on the value of Treasury Bond call options. …