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- W3124508051 abstract "We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of functional forms available for the volatility dynamic, multifactor models, nonnormal shock distributions as well as style of pricing kernels typically used. Various strategies for empirical implementation are laid out and we also discuss the links between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte Carlo simulation for nonaffine models as well as Fourier inversion for affine models." @default.
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- W3124508051 date "2012-05-08" @default.
- W3124508051 modified "2023-09-27" @default.
- W3124508051 title "GARCH Option Valuation: Theory and Evidence" @default.
- W3124508051 hasPublicationYear "2012" @default.
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