ARCH Models and Option Pricing: The Continuous Time Connection

Fabio Fornari () and Antonio Mele

No 98-30, Thema Working Papers from THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS

Date: 1998
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Related works:
Working Paper: ARCH Models and Option Pricing: the Continuous-Time Connection (1999)
Working Paper: ARCH Models and Option Pricing: The Continuous Time Connection (1998)
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