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Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.; Trevor, Robert G. - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 397-408
Persistent link: https://www.econbiz.de/10001412844
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Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
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Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978435
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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436