## Abstract The authors explore the finite sample properties of the generalized autoregressive conditional heteroscedasticity (GARCH) option pricing model proposed by S. L. Heston and S. Nandi (2000). Simulation results show that the maximum likelihood estimators of the GARCH process may contain su
The GARCH Option Pricing Model: A Modification of Lattice Approach
β Scribed by Chun-Chou Wu
- Publisher
- Springer US
- Year
- 2006
- Tongue
- English
- Weight
- 187 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0924-865X
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