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An Empirical Comparison of Option-Pricing Models in Hedging Exotic Options

✍ Scribed by Yunbi An; Wulin Suo

Book ID
118073484
Publisher
Financial Management Association International (FMA)
Year
2009
Tongue
English
Weight
289 KB
Volume
38
Category
Article
ISSN
0046-3892

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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)