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

Tong, Howell and 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
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
Sets: Collections > Economists Online
Departments > Economics
Departments > Statistics
Date Deposited: 02 Jul 2008 14:42
Last Modified: 01 Oct 2010 08:56
URI: http://eprints.lse.ac.uk/id/eprint/6260

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