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On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach

Tong, Howell, Siu, T.K and Yang, H (2004) On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. North American Actuarial Journal, 8 . pp. 17-31. ISSN 1092-0277

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Item Type: Article
Official URL: http://www.soa.org/news-and-publications/publicati...
Additional Information: © 2004 Society of Actuaries
Library of Congress subject classification: H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
Sets: Collections > Economists Online
Departments > Economics
Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 02 Jul 2008 14:42
URL: http://eprints.lse.ac.uk/6260/

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