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An Option Pricing Formula for the GARCH diffusion model

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  • Giovanni Barone-Adesi
  • Claudia Ravanelli
  • Henrik Rasmussen
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    File URL: http://www.finance.ox.ac.uk/file_links/finecon_papers/2003mf07.pdf
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    Bibliographic Info

    Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2003mf07.

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    Date of creation: 2003
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    Handle: RePEc:sbs:wpsefe:2003mf07

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    Web page: http://www.finance.ox.ac.uk
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    Cited by:
    1. 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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