Index-option pricing with stochastic volatility and the value of accurate variance forecasts
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Publication:375251
DOI10.1007/BF01531596zbMATH Open1274.91410OpenAlexW3125950913MaRDI QIDQ375251FDOQ375251
Authors: A. Kane, Jaesun Noh, Robert F. Engle 
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531596
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Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)
Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Title not available (Why is that?)
- ARCH modeling in finance. A review of the theory and empirical evidence
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- Time Series Regression with a Unit Root
- A functional central limit theorem for weakly dependent sequences of random variables
- Modelling the persistence of conditional variances
- The pricing of options on assets with stochastic volatilities
Cited In (5)
- A simple expected volatility (SEV) index: Application to SET50 index options
- Evaluating volatility forecasts in option pricing in the context of a simulated options market
- Forecast Evaluation in the Presence of Unobserved Volatility
- Title not available (Why is that?)
- Dividend forecast biases in index option valuation
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