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A GARCH Option Pricing Model with Filtered Historical Simulation

A GARCH Option Pricing Model with Filtered Historical Simulation

AuthorG. Barone-Adesi, L. Mancini, R. Engle
JournalReview of Financial Studies
Date1 Jan. 2008
CategoryAcademic Publications
Volumevol 21(3), pp 1223-1258

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