Option pricing under Markov-switching GARCH processes
Article first published online: 7 AUG 2009
© 2009 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 30, Issue 5, pages 444–464, May 2010
How to Cite
Chen, C.-C. and Hung, M.-Y. (2010), Option pricing under Markov-switching GARCH processes. J. Fut. Mark., 30: 444–464. doi: 10.1002/fut.20422
- Issue published online: 8 MAR 2010
- Article first published online: 7 AUG 2009
- Manuscript Accepted: MAY 2009
- Manuscript Received: JUL 2008
- National Science Council of Taiwan. Grant Number: NSC-96-2416-H-029-013
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