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Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX MeasuresJournal of Financial Econometrics, 2021, pp.nbaa042. ⟨10.1093/jjfinec/nbaa042⟩ |
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Option valuation with IG-GARCH model and a U-shaped pricing kernelSoft Computing, 2020, 24, pp.8505-8522. ⟨10.1007/s00500-019-04236-4⟩ |
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Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures2020 |
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Option Valuation with IG_GARCH Model and an U-Shaped Pricing Kernel2016 |