Index-option pricing with stochastic volatility and the value of accurate variance forecasts
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A functional central limit theorem for weakly dependent sequences of random variables
- ARCH modeling in finance. A review of the theory and empirical evidence
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Modelling the persistence of conditional variances
- The pricing of options and corporate liabilities
- The pricing of options on assets with stochastic volatilities
- Time Series Regression with a Unit Root
Cited in
(5)- scientific article; zbMATH DE number 1867095 (Why is no real title available?)
- Dividend forecast biases in index option valuation
- Evaluating volatility forecasts in option pricing in the context of a simulated options market
- Forecast Evaluation in the Presence of Unobserved Volatility
- A simple expected volatility (SEV) index: Application to SET50 index options
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