On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach
Tong, Howell; Siu, T.K; and Yang, H
(2004)
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach.
North American Actuarial Journal, 8.
pp. 17-31.
ISSN 1092-0277
| Item Type | Article |
|---|---|
| Departments |
Economics Statistics |
| Date Deposited | 02 Jul 2008 14:42 |
| URI | https://researchonline.lse.ac.uk/id/eprint/6260 |