A GARCH option pricing model with filtered historical simulation

Review of Financial Studies

Volumn 21, Issue 3, 2008, Pages 1223-1258

  Barone Adesi, Giovanni ^a   Engle, Robert F ^b   Mancini, Loriano ^c  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b NEW YORK UNIVERSITY   (United States)

^c UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 44849105179     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhn031     Document Type: Article

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