References
- Avellaneda , M. and Paras , A. 1996 . Managing the volatility risk of portfolios of derivative securities: The Lagrangian Uncertain Volatility model . Applied Mathematical Finance , 3 : 21 – 52 .
- Derman , E. and Kani , I. 1994 . Riding on the smile . Risk , 7 ( 2 ) : 32 – 39 .
- Dupire , B. 1994 . Pricing with a smile . Risk , 7 ( 1 ) : 18 – 20 .
- Enders , W. 1995 . Applied Econometric Time Series , New York : John Wiley .
- Engle , R. F. 1984 . “ Wald, likelihood ratio, and Lagrange Multiplier Tests in econometrics ” . In Handbook of Econometrics , Edited by: Griliches , Z. and Intriligator , M. D. Amsterdam : North Holland .
- Engle , R. and Mezrich , J. 1995 . Grappling with GARCH, Risk , 8 ( 9 ) : 112 – 117 .
- Engle , R. and Rosenberg , J. V. 1995 . Garch Gamma, The Journal of Derivatives , 2 : 47 – 59 .
- Noh , J. , Engle , R. F. and Kane , A. 1994 . Forecasting volatility and option prices of The S&P 500 Index . The Journal of Derivatives , Fall : 17 – 30 .
- Hull , J. and White , A. 1987 . The pricing of options on asset with stochastic volatilities . Journal of Finance , 42 : 281 – 300 .
- Judge , G. G. , Griffiths , WE. , Hill , R. C. , Lutkepohl , H. and Lee , T. C. 1988 . Introduction to the Tlieory and Practice of Econometrics , New York : John Wiley .
- Karatzas , I. and Shreve , S. 1991 . Brownian Motion and Stochastic Calculus , New York : Springer-Verlag .
- Litterman , R. and Scheinkman , J. 1991 . Common factors affecting bond returns . Journal of Fixed Income , 1 ( 6 ) : 55 – 61 .
- Rubinstein , M. 1994 . Implied binomial trees . Journal of Finance , 49 : 771 – 881 .