An Option Pricing Formula for the GARCH diffusion model
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Bibliographic InfoPaper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2003mf07.
Date of creation: 2003
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-31 (All new papers)
- NEP-FIN-2003-08-31 (Finance)
- NEP-FMK-2003-08-31 (Financial Markets)
- NEP-RMG-2003-08-31 (Risk Management)
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- Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, School of Economics and Management, University of Aarhus.
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