@article{JSFS_1996__137_2_51_0,
author = {Villa, Christophe},
title = {Application du mod\`ele {GARCH} \`a l'\'evaluation des options {MONEP}},
journal = {Journal de la Soci\'et\'e de statistique de Paris},
pages = {51--68},
year = {1996},
publisher = {Soci\'et\'e de statistique de Paris},
volume = {137},
number = {2},
language = {fr},
url = {https://www.numdam.org/item/JSFS_1996__137_2_51_0/}
}
TY - JOUR AU - Villa, Christophe TI - Application du modèle GARCH à l'évaluation des options MONEP JO - Journal de la Société de statistique de Paris PY - 1996 SP - 51 EP - 68 VL - 137 IS - 2 PB - Société de statistique de Paris UR - https://www.numdam.org/item/JSFS_1996__137_2_51_0/ LA - fr ID - JSFS_1996__137_2_51_0 ER -
%0 Journal Article %A Villa, Christophe %T Application du modèle GARCH à l'évaluation des options MONEP %J Journal de la Société de statistique de Paris %D 1996 %P 51-68 %V 137 %N 2 %I Société de statistique de Paris %U https://www.numdam.org/item/JSFS_1996__137_2_51_0/ %G fr %F JSFS_1996__137_2_51_0
Villa, Christophe. Application du modèle GARCH à l'évaluation des options MONEP. Journal de la Société de statistique de Paris, Tome 137 (1996) no. 2, pp. 51-68. https://www.numdam.org/item/JSFS_1996__137_2_51_0/
[1] (1989) " Conditional Heteroscedasticity in Time Series of Stock Returns : Evidence and Forecast", Journal of Business, 62, pp. 55-80.
[2] (1994) " Stochastic Autoregressive Volatility : a Framework for Volatility Modeling", Mathematical Finance, 4, pp. 75-102. | Zbl
[3] & (1987) Bourse : les options négociables, Vuibert.
[4] & (1991) " Stock Price Volatility : some Evidence from an ARCH model", Journal of Futures Markets, 11, pp. 191-200.
[5] & (1994) " Stochastic Volatility Option Pricing", Journal of Financial and Quantitative Analysis, 29, pp. 589-607.
[6] & (1973) " The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, pp. 637-654. | Zbl
[7] (1986) " Generalized Autoregressive Conditional Heteroscedasticity", Journal of Econometrics, 31, pp. 307-327. | Zbl | MR
[8] , & (1992) " ARCH Modeling in Finance : a Review of the Theory and Empirical Evidence", Journal of Econometrics, 52, pp. 5-59. | Zbl
[9] & (1989) " Pricing European Currency Options : a Comparaison of the Modified BLACK-SCHOLES Model and a Random Variance Model", Journal of Financial and Quantitative Analysis, 24, Septembre, pp. 267-284.
[10] (1988) " Volatility Persistence and Stock Valuations : Some Empirical Evidence using GARCH", Journal of Applied Econometrics, 3, pp. 279-294.
[11] & (1992) " Stock Market Volatility and the Information Content of Stock Index Options", Journal of Econometrics, 52, pp. 267-287.
[12] (1982) " Autoregressive Conditional Heteroscedasticity with Estimation of the Variance of the U.K. Inflation", Econometrica, 50, p. 987-1008. | Zbl | MR
[13] & (1986) " Modelling the Persistence of Conditional Variances", Econometric Reviews, 5, pp. 1-50. | Zbl | MR
[14] & (1992) " Implied ARCH Models from Options Prices", Journal of Econometrics 52, pp. 289-311.
[15] & (1994) Prévision de volatilité et efficience du MONEP, Cahier de Recherche de l'Université Paris-Dauphine, Mars.
[16] , & (1994) " Analysis of the Term Structure of Implied Volatilities", Journal of Financial and Quantitative Analysis, 29, pp. 31-56.
[17] & (1987) " The Pricing of Options on Assets with Stochastic Volatilities", Journal of Finance, 2, Juin, pp. 281-300.
[18] & (1987) " Option Pricing when the Variance is Changing", Journal of Financial and Quantitative Analysis, 22, pp. 143-151.
[19] & (1993) " Forecasting Stock-Return Variance : toward an Understanding of Stochastic Implied Volatilities", Review of Financial Studies, 6, pp. 293-326.
[20] &: (1990) " Pricing Foreign Currency Options with Stochastic Volatility", Journal of Econometrics, 45, pp. 239-265.
[21] & (1989) " Stock Price Volatility, Mean Reverting Diffusion, and Noise", Journal of Financial Economics, 24, pp. 193-214.
[22] (1990) " ARCH Models as Diffusion Approximations", Journal of Econometrics, 45, pp. 7-38. | Zbl | MR
[23] (1991) " Conditional Heteroscedasticity in Asset Returns : a New Approach", Econometrica, 59, pp. 347-370. | Zbl | MR
[24] (1992) " Filtering anf Forecasting with Misspecified arch Models I Getting the Right Variance with the Wrong Model", Journal of Econometrics, 52, pp. 61-90. | Zbl | MR
[25] & (1994) " Asymptotic Filtering Theory for Univariate ARCH Models.", Econometrica, 62, pp. 1-41. | Zbl | MR
[26] & (1995) " Filtering and Forecasting with Misspecified ARCH Models II Making the Right Forecast with the Wrong Model", Journal of Econometrics, 67, pp. 303-335. | Zbl | MR
[27] (1996) " Asymptotic Filtering Theory for Multivariate ARCH Models", Journal of Econometrics, 71, pp. 1-47. | Zbl | MR
[28] & (1995) Contingent Claims and Market Completeness in a Stochastic Volatility Model, Cahier de Recherche CREST.
[29] & (1990) " Heteroscedasticity in Stock Returns", The Journal of Finance, 4.
[30] (1987) " Option Pricing when the Variance Changes Randomly", Journal of Financial and Quantitative Analysis, 22, pp. 419-438.
[31] (1991) " Random-Variance Option Pricing : Empirical Tests of the Model and Delta-Sigma Hedging", Advances in Futures and Options Research, 5, pp. 113-135.
[32] & (1991) " Stock Price Distributions with Stochastic Volatility : an Analytic Approach", Review of Financial Studies, 4, pp. 727-752.
[33] (1994) " Stochastic Volatility : a Review and Comparative Study", Mathematical Finance, 4, pp. 183-204. | Zbl
[34] (1987) " Option Values under Stochastic Volatility : Theory and Empirical Estimates", Journal of Financial Economies, 19, pp. 351-372.






