A GARCH Option Pricing Model with Filtered Historical Simulation-Reference-Cited by-同舟云学术

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A GARCH Option Pricing Model with Filtered Historical Simulation

Published:2008 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Barone-Adesi Giovanni,Engle Robert F.,Mancini Loriano

Publisher

Elsevier BV

Reference62 articles.

1. Nonparametric estimation of state-price densities implicit in financial assets prices;Y A�?ta�?t-Sahalia;Journal of Econometrics,1998

2. Inferring future volatility from the information in implied volatility in Eurodollar options: A new approach;K I Amin;Review of Financial Studies,1997

3. The role of securities in the optimal allocation of risk bearing;K Arrow;Review of Economic Studies,1964

4. Empirical performance of alternative option pricing models;G Bakshi;Journal of Finance,1997

5. Don't look back;G Barone-Adesi;Risk,1998

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Bayesian Estimate of the Pricing Kernel;SSRN Electronic Journal;2016

2. Option Pricing with the Logistic Return Distribution;SSRN Electronic Journal;2014

3. Empirical Pricing Kernels and Investor Preferences;SSRN Electronic Journal;2007

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