Option pricing with realistic ARCH processes

DOI10.1080/14697688.2013.816437MaRDI QIDQ2879018zbMATH OpenOpenAlexFDO

Authors G. Zumbach, Luis Pastor Sanchez Fernandez

Publication date 5 September 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.816437

zbMATH Keywords

ARCH processimplied volatilitylong memory volatilityoption pricingSP500 European optionsStudent innovations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Recommendations

• Fast and realistic European ARCH option pricing and hedging
• Option Pricing in ARCH-type Models
• The GARCH-stable option pricing model
• GARCH option pricing: A semiparametric approach
• Discrete time option pricing with flexible volatility estimation

Cites work

• A Discrete Time Equivalent Martingale Measure
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Processes for stocks capturing their statistical properties from one day to one year
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(3)

• Option Pricing in ARCH-type Models
• Market calibration under a long memory stochastic volatility model
• Fast and realistic European ARCH option pricing and hedging

This page was built for publication: Option pricing with realistic ARCH processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2879018)