Option pricing with conditional GARCH models
From MaRDI portal
Publication:2028829
Recommendations
- Option pricing with ARIMA-GARCH models of underlying asset returns
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- GARCH option pricing: A semiparametric approach
- Option Pricing Under GARCH Processes Using PDE Methods
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- THE GARCH OPTION PRICING MODEL
- GARCH option pricing models with Meixner innovations
- Option valuation with normal mixture GARCH models
- Option pricing in a conditional bilateral Gamma model
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A fast calibrating volatility model for option pricing
- A GARCH option pricing model with \(\alpha\)-stable innovations
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- ARCH modeling in finance. A review of the theory and empirical evidence
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
- Clustering financial time series: new insights from an extended hidden Markov model
- Empirical reverse engineering of the pricing kernel.
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 5984103 (Why is no real title available?)
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Non-Gaussian GARCH option pricing models and their diffusion limits
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- Option pricing with mean reversion and stochastic volatility
- Option valuation with conditional skewness
- THE GARCH OPTION PRICING MODEL
Cited in
(22)- Smoothly truncated stable distributions, GARCH-models, and option pricing
- GARCH option pricing models with Meixner innovations
- Option pricing with ARIMA-GARCH models of underlying asset returns
- Learning for infinitely divisible GARCH models in option pricing
- Option valuation with conditional skewness
- Option pricing in a conditional bilateral Gamma model
- Option Pricing Under GARCH Processes Using PDE Methods
- THE GARCH OPTION PRICING MODEL
- scientific article; zbMATH DE number 5566166 (Why is no real title available?)
- scientific article; zbMATH DE number 5631233 (Why is no real title available?)
- scientific article; zbMATH DE number 2170628 (Why is no real title available?)
- Discretization processing of financial risk management using stochastic differential equation simulation method
- scientific article; zbMATH DE number 7267415 (Why is no real title available?)
- THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
- Option pricing under GARCH models applied to the SET index of Thailand
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
- Fifty years at the interface between financial modeling and operations research
- Volatility forecasting: a new GARCH-type model for fuzzy sets-valued time series
- An empirical comparison of GARCH option pricing models
- Pricing bivariate option under GARCH processes with time-varying copula
- An option pricing formula for the GARCH diffusion model
This page was built for publication: Option pricing with conditional GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2028829)
