The approximate option pricing model: performances and dynamic properties
β Scribed by Gunther Capelle-Blancard; Emmanuel Jurczenko; Bertrand Maillet
- Book ID
- 114339959
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 145 KB
- Volume
- 11
- Category
- Article
- ISSN
- 1042-444X
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## Abstract The authors explore the finite sample properties of the generalized autoregressive conditional heteroscedasticity (GARCH) option pricing model proposed by S. L. Heston and S. Nandi (2000). Simulation results show that the maximum likelihood estimators of the GARCH process may contain su
## 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)