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A GARCH model of the implied volatility of the Swiss market index from option prices

Oliver B. Linton

Publication Data

Title A GARCH model of the implied volatility of the Swiss market index from option prices
Author Oliver B. Linton
Contributors Michael Sabbatini, Michael Sabbatini
Publisher London School of Economics and Political Science
Publication date 2004
Publication location London
Language English

Topics

Options (Finance) :: Switzerland :: Prices :: Mathematical models

Catalogue Data

OBNB ID GBA576840
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book

ISBD

P1053 40 p.
P1042 Includes bibliographical references.

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A GARCH model of the implied volatility of the Swiss market index from option prices by Oliver B. Linton. Published by London School of Economics and Political Science in 2004. Publication and catalogue information, links to buy online and reader comments.