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American option pricing under GARCH diffusion model: An empirical study

✍ Scribed by Wu, Xinyu; Yang, Wenyu; Ma, Chaoqun; Zhao, Xiujuan

Book ID
121560009
Publisher
Academy of Mathematics and Systems Science, Chinese Academy of Sciences
Year
2014
Tongue
English
Weight
352 KB
Volume
27
Category
Article
ISSN
1009-6124

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## Abstract In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc Black‐Scholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH)