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GARCH vs stochastic volatility : Option pricing and risk management
Lehar, Alfred
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Scheicher, Martin
;
Schittenkopf, Christian
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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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