We thank Mark Rubinstein, Lars Stentoft, and participants of the 2010 FMA European Meeting, Hamburg, for valuable comments.
American option valuation: Implied calibration of GARCH pricing models†
Article first published online: 8 NOV 2010
© 2010 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 31, Issue 10, pages 971–994, October 2011
How to Cite
Weber, M. and Prokopczuk, M. (2011), American option valuation: Implied calibration of GARCH pricing models. J. Fut. Mark., 31: 971–994. doi: 10.1002/fut.20496
- Issue published online: 1 AUG 2011
- Article first published online: 8 NOV 2010
- Manuscript Accepted: SEP 2010
- Manuscript Received: OCT 2009
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