RISK-NEUTRAL OPTION PRICING UNDER GARCH INTENSITY MODEL
نویسندگان
چکیده
منابع مشابه
A Closed-Form GARCH Option Pricing Model
This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH process. The single-factor (one-lag) version of this model contains Heston’s (1993) stochastic volatility model as a diffusion limit and therefo...
متن کاملPricing bivariate option under GARCH processes with time-varying copula
This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model determined by dynamic depe...
متن کاملGARCH vs Stochastic Volatility: Option Pricing and Risk Management
This paper examines the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model. The models are calibrated to intraday FTSE 100 option prices. We apply two sets of performance criteria, namely out-of-sample valuation errors and Value-at-Risk oriented measures. When we analyze the t to observed prices, GAR...
متن کاملA GARCH Option Pricing Model with Filtered Historical Simulation∗
We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 index options shows that our model outperforms other competing GARCH ...
متن کاملA GARCH Option Pricing Model in Incomplete Markets∗
We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework we allow for different distributions of the historical and the pricing return dynamics enhancing the model flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 index options shows that our model outperforms other competing...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Pure and Apllied Mathematics
سال: 2017
ISSN: 1311-8080,1314-3395
DOI: 10.12732/ijpam.v114i3.17