Index-option pricing with stochastic volatility and the value of accurate variance forecasts

Review of Derivatives Research

Volumn 1, Issue 2, 1996, Pages 139-157

  Engle, Robert F ^a   Kane, Alex ^b   Jaesun, N O H ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c San Diego ^*

Author keywords

Forecasts; GARCH; Index; Options; Variance; Volatility

Indexed keywords

EID: 0039791978     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01531596     Document Type: Article

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