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Volumn 23, Issue 10, 2003, Pages 915-929

Approximating American option prices in the GARCH framework

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Indexed keywords


EID: 0042364788     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10096     Document Type: Article
Times cited : (13)

References (16)
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  • 6
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  • 7
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  • 8
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  • 9
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  • 10
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  • 11
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    • A closed-form GARCH option pricing model
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  • 12
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  • 13
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