Which GARCH Model for Option Valuation?

B-Tier
Journal: Management Science
Year: 2004
Volume: 50
Issue: 9
Pages: 1204-1221

Authors (2)

Peter Christoffersen Kris Jacobs (not in RePEc)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

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

View Full Article View on IDEAS/RePEc

Technical Details

RePEc Handle
repec:inm:ormnsc:v:50:y:2004:i:9:p:1204-1221
Journal Field
General
Author Count
2
Added to Database
2026-02-08