Implied Volatility in Black-scholes Model with Garch Volatility
Author:
Publisher
Elsevier BV
Subject
General Economics, Econometrics and Finance
Reference8 articles.
1. Black, F.,Scholes, M., 1973. The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, p.637-659.
2. Butler, J.S., Schachter, B., 1986. Unbiased Estimation of the Black-Scholes Formula, Journal of Financial Economics 15 (3), p. 341-357.
3. Christian, F., Jean, Z.M., 2010. GARCH models, John Wiley and sons.
4. Corrado, C.J., Miller,T.W., 1996. A Note on a Simple Accurate Formula to Compute Implied Standard Deviations, Journal of Banking and Finance 20, 595-603.
5. Duan, J.C., 1992. The GARCH Option Pricing Model, Mathematical Finance 5, p. 3-32.
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