A closed-form GARCH option valuation model
Steven L. Heston; Saikat Nandi
| Year of publication: |
2000
|
|---|---|
| Authors: | Heston, Steven L. ; Nandi, Saikat |
| Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 13.2000, 3, p. 585-625
|
| Subject: | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Index-Futures | Index futures | USA | United States | 1992-1994 |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: The review of financial studies |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001499745