Option valuation with long-run and short-run volatility components

Journal of Financial Economics

Volumn 90, Issue 3, 2008, Pages 272-297

  Christoffersen, Peter ^a,b   Jacobs, Kris ^a,c   Ornthanalai, Chayawat ^a   Wang, Yintian ^d  

^a MCGILL UNIVERSITY   (Canada)

^b AARHUS UNIVERSITY   (Denmark)

^c TILBURG UNIVERSITY   (Netherlands)

^d TSINGHUA UNIVERSITY   (China)

Author keywords

GARCH; Out of sample; Volatility term structure

Indexed keywords

EID: 56349086495     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2007.12.003     Document Type: Article

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