An empirical test of the variance gamma option pricing model
β Scribed by K. Lam; E. Chang; M.C. Lee
- Book ID
- 117627865
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 196 KB
- Volume
- 10
- Category
- Article
- ISSN
- 0927-538X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This paper reports several entirely new results on ΓΏnancial market dynamics and option pricing. We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop a ne
## Abstract In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc BlackβScholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH)