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Some exotic options under symmetric and asymmetric conditional volatility of returns

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  • Walsh, David M.
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-3XTDV7M-D/2/963ae43fd443f5017509529d5e884b17
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    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 9 (1999)
    Issue (Month): 3-4 (November)
    Pages: 403-417

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    Handle: RePEc:eee:mulfin:v:9:y:1999:i:3-4:p:403-417

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    Web page: http://www.elsevier.com/locate/mulfin

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    1. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
    2. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    3. Jin-Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 13-32.
    4. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    5. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
    6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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    Cited by:
    1. Daouk, Hazem & Guo, Jie Qun, 2003. "Switching Asymmetric GARCH and Options on a Volatility Index," Working Papers 127187, Cornell University, Department of Applied Economics and Management.

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