A Closed-Form GARCH Option Valuation Model

Abstract

Journal Article A Closed-Form GARCH Option Valuation Model Get access Steven L. Heston, Steven L. Heston Goldman Sachs & Company Search for other works by this author on: Oxford Academic Google Scholar Saikat Nandi Saikat Nandi Research Department, Federal Reserve Bank of Atlanta Address all correspondence to Saikat Nandi, Research Department, Federal Reserve Bank of Atlanta, 104 Marietta Street, N.W, Atlanta, GA 30303, or e-mail: [email protected]. Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 13, Issue 3, July 2000, Pages 585–625, https://doi.org/10.1093/rfs/13.3.585 Published: 15 June 2015