Work

A GARCH Option Pricing Model with Filtered Historical Simulation

Year: 2004

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.603382

Authors: Giovanni Barone-Adesi, Robert F. Engle, Loriano Mancini

Institutions: Swiss Finance Institute, Università della Svizzera italiana, National Bureau of Economic Research, New York University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2159164841

Cites: 74

Cited by: 73

Related to: 10