On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach

Tong, H., Siu, T. & Yang, H. (2004). On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. North American Actuarial Journal, 8, 17-31.
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Item Type Article
Copyright holders © 2004 Society of Actuaries
Departments LSE > Academic Departments > Economics
LSE > Academic Departments > Statistics
Date Deposited 02 Jul 2008
URI https://researchonline.lse.ac.uk/id/eprint/6260

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