Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
收藏NBER1994-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w4958
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资源简介：
This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their ability to hedge options positions sensitive to the term
提供机构：
美国国家经济研究局
创建时间：
1994-12-01
