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THE GARCH OPTION PRICING MODEL

✍ Scribed by Jin-Chuan Duan

Book ID
111042992
Publisher
John Wiley and Sons
Year
1995
Tongue
English
Weight
960 KB
Volume
5
Category
Article
ISSN
0960-1627

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πŸ“œ SIMILAR VOLUMES

The finite sample properties of the GARC
The finite sample properties of the GARCH option pricing model
✍ George Dotsis; Raphael N. Markellos πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 167 KB πŸ‘ 1 views

## 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

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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)

Conditional volatility and the GARCH opt
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On the basis of the theory of a wedge between the physical and risk‐neutral conditional volatilities in Christoffersen, P., Elkamhi, R., Feunou, B., & Jacobs, K. (2010), we develop a modification of the GARCH option pricing model with the filtered historical simulation proposed in Barone‐Adesi, G.,

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An option pricing model is developed based on a generalized autoregressive conditional heteroskedastic (GARCH) asset return process with stable Paretian innovations. Our approach is based on t,he locally risk-neutral valuation relationship. Methods for maximum likelihood estimation of GARCH-stable