Research Article

The finite sample properties of the GARCH option pricing model

  1. George Dotsis1,*,
  2. Raphael N. Markellos2

Article first published online: 4 APR 2007

DOI: 10.1002/fut.20241

Issue

Journal of Futures Markets

Journal of Futures Markets

Volume 27, Issue 6, pages 599–615, June 2007

Additional Information

How to Cite

Dotsis, G. and Markellos, R. N. (2007), The finite sample properties of the GARCH option pricing model. J. Fut. Mark., 27: 599–615. doi: 10.1002/fut.20241

Author Information

  1. 1

    University of Essex, Colchester, UK

  2. 2

    Athens University of Economics and Business, Athens, Greece

*Office 915, Department of Management Science & Technology, Athens University of Economics and Business, 47A Evelpidon Str, 113 62 Athens, Greece

Publication History

  1. Issue published online: 4 APR 2007
  2. Article first published online: 4 APR 2007
  3. Manuscript Accepted: FEB 2006
  4. Manuscript Received: MAR 2005

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