fr
{{ search | replaceEmpty }}

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
CatégorieAcademic Publications
Volumevol 21(3), pp 1223-1258

Swiss Finance Institute - Genève

Université de Genève
42, Bd du Pont d`Arve
CH-1211 Genève 4

Tel: +41 22 379 84 71
Fax: +41 22 379 84 77
E-mail: research@sfi.ch
  phd@sfi.ch

Swiss Finance Institute - Zurich

Walchestrasse 9
CH-8006 Zurich

Tél.: +41 44 254 30 80
Fax: +41 44 254 30 85
E-mail: info@sfi.ch

Menu

© Swiss Finance Institute Stiftung
fr