American option pricing under GARCH diffusion model: an empirical study

DOI10.1007/S11424-014-3279-2MaRDI QIDQ741895zbMATH OpenOpenAlexFDO

Authors Wenyu Yang, Xiujuan Zhao, Xinyu Wu, Chaoqun Ma

Publication date 15 September 2014

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-014-3279-2

zbMATH Keywords

American optionefficient importance samplingGARCH diffusion modelleast-squares Monte Carlomaximum likelihood

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

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• Efficient high-dimensional importance sampling
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• The dynamics of stochastic volatility: evidence from underlying and options markets
• The pricing of options and corporate liabilities
• The valuation of multidimensional American real options using the LSM simulation method
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(6)

• Option pricing with ARIMA-GARCH models of underlying asset returns
• Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
• A lattice model for option pricing under GARCH-jump processes
• Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
• A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL
• Empirical study of Nikkei 225 options with the Markov switching GARCH model

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