@article{publication-542,
	author={Barone-Adesi, Giovanni and Engle, Robert F and Mancini, Loriano},
	doi={10.1093/rfs/hhn031},
	issn={0893-9454},
	journal={Review of Financial Studies},
	number=3,
	pages={1223-1258},
	publisher={Oxford University Press},
	title={A GARCH option pricing model with filtered historical simulation},
	volume=21,
	year=2008,
}