An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility

Applied Financial Economics

Volumn 20, Issue 11, 2010, Pages 899-910

  Su, Yong Chern ^a   Chen, MingDa ^a   Huang, Han Ching ^b  

^a NATIONAL TAIWAN UNIVERSITY   (Taiwan)

^b CHUNG YUAN CHRISTIAN UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

BENCHMARKING; ECONOMETRICS; FINANCIAL MARKET; NUMERICAL MODEL; STOCK MARKET;

EID: 77953636536     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603101003652417     Document Type: Article

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