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Dynamic demand and optimal OPEC pricing: An empirical investigation

✍ Scribed by Franz Wirl


Book ID
103525729
Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
317 KB
Volume
12
Category
Article
ISSN
0140-9883

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## Abstract In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc Black‐Scholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH)