Now showing items 1-1 of 1

  • Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 

    Garcia, René; LUGER, Richard; Renault, Éric (Université de Montréal. Département de sciences économiques., 2001)
    This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit ...