GARCH vs. stochastic volatility: Option pricing and risk management

B-Tier

Journal: Journal of Banking & Finance

Year: 2002

Volume: 26

Issue: 2-3

Pages: 323-345

Authors (3)

Lehar, Alfred (Universität Wien) Scheicher, Martin (not in RePEc) Schittenkopf, Christian (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count