A GARCH model of the implied volatility of the Swiss market index from option prices

International Journal of Forecasting

Volumn 14, Issue 2, 1998, Pages 199-213

  Sabbatini, Michael ^a   Linton, Oliver ^a  

^a YALE UNIVERSITY   (United States)

Author keywords

ARCH models; Option pricing; Simulation estimation; Swiss market index; Volatility

Indexed keywords

EID: 0032087023     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(98)00027-2     Document Type: Article

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