Evaluation of Black-Scholes and GARCH models using currency call options data

Review of Quantitative Finance and Accounting

Volumn 23, Issue 4, 2004, Pages 299-312

  Harikumar, T ^a   De Boyrie, Maria E ^a   Pak, Simon J ^b  

^a MSC 3FIN   (United States)

^b PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

Black Scholes; currency options; GARCH

Indexed keywords

EID: 10044235467     PISSN: 0924865X     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:REQU.0000049318.78363.3c     Document Type: Article

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