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8 - Market Risk Models
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- Book:
- Quantitative Enterprise Risk Management
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- 28 July 2022
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- 05 May 2022, pp 227-261
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THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 32 / Issue 3 / July 2018
- Published online by Cambridge University Press:
- 11 August 2017, pp. 409-433
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PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION
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- Probability in the Engineering and Informational Sciences / Volume 32 / Issue 1 / January 2018
- Published online by Cambridge University Press:
- 12 January 2017, pp. 67-95
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NONLINEARITIES AND GARCH INADEQUACY FOR MODELING STOCK MARKET RETURNS: EMPIRICAL EVIDENCE FROM LATIN AMERICA
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- Journal:
- Macroeconomic Dynamics / Volume 15 / Issue 5 / November 2011
- Published online by Cambridge University Press:
- 04 October 2010, pp. 713-724
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