Hedging options in a GARCH environment
Subtitle: testing the term structure of stochastic volatility models
By: Robert F. Engle, Joshua Rosenberg.
Contributors: Rosenberg, Joshua.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper no. 4958; Working paper series (National Bureau of Economic Research) -- working paper no. 4958.
Publisher: National Bureau of Economic Research
Published: 1994
Place of publication: Cambridge, MA
Language: eng
Number of pages: 26
Subjects: Hedging (Finance) -- Econometric models.; Stock options -- Econometric models.; Stochastic processes.; Heteroscedasticity.
Notes: "December 1994."

Includes bibliographical references (p. 26).

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