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GARCH vs stochastic volatility : Option pricing and risk management
Lehar, Alfred; Scheicher, Martin; Schittenkopf, Christian - 2001
This paper analyzes the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model.
Persistent link: https://www.econbiz.de/10005841617
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GARCH vs. stochastic volatility : option pricing and risk management
Lehar, Alfred; Scheicher, Martin; Schittenkopf, Christian - In: Journal of banking & finance 26 (2002) 2/3, pp. 323-345
Persistent link: https://www.econbiz.de/10001654320
Cover Image
GARCH vs. stochastic volatility: Option pricing and risk management
Lehar, Alfred; Scheicher, Martin; Schittenkopf, Christian - In: Journal of Banking & Finance 26 (2002) 2-3, pp. 323-345
Persistent link: https://www.econbiz.de/10005194560
Cover Image
GARCH vs. stochastic volatility: Option pricing and risk management
Lehar, Alfred; Scheicher, Martin; Schittenkopf, Christian - In: Journal of banking & finance 26 (2002) 2, pp. 323-346
Persistent link: https://www.econbiz.de/10005890921