Kuwahara, Hiroto; Marsh, Terry A. - In: Management Science 38 (1992) 11, pp. 1610-1641
Discrepancies between the Black-Scholes value of Japanese equity warrants and their observed prices are explained in part by the stochastic volatility of changes in prices of the underlying stocks. We fit GARCH and EGARCH models to the stochastic volatility and briefly compare their performance...