مرکز منطقه ای اطلاع رساني علوم و فناوري - A GARCH model of the implied volatility of the Swiss market index from option prices

Title of article :

A GARCH model of the implied volatility of the Swiss market index from option prices

Author/Authors :

Michael Sabbatini، نويسنده , , Oliver Linton، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 1998

Pages :

From page :

199

To page :

213

Keywords :

ARCH models , Simulation estimation , Swiss market index , Volatility , option pricing

Journal title :

International Journal of Forecasting

Serial Year :

1998

Journal title :

International Journal of Forecasting

Record number :

178769

Link To Document :