Work

GARCH option pricing with volatility derivatives

Year: 2022

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2022.106718

Authors: Dong Hwan Oh, Yang-Ho Park

Institution: Federal Reserve Board of Governors

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4307739784

FWCI: 2.929

Cites: 43

Cited by: 22

Related to: 10