Index-option pricing with stochastic volatility and the value of accurate variance forecasts
By: Robert F. Engle, Alex Kane, Jaesun Noh.
Contributors: Kane, Alex.; Noh, Jaesun.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper no. 4519; Working paper series (National Bureau of Economic Research) -- working paper no. 4519.
Publisher: National Bureau of Economic Research
Published: 1993
Place of publication: Cambridge, MA
Language: eng
Number of pages: 29
Subjects: Stock options -- Prices -- Forecasting.
Notes: "November 1993."

Includes bibliographical references (p. 18-19).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.

Bound with: Trade policy, exchange rates and growth.