A lattice model for option pricing under GARCH-jump processes
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Publication:385653
DOI10.1007/S11147-012-9087-8zbMATH Open1312.91088OpenAlexW1969392474MaRDI QIDQ385653FDOQ385653
Jr-Yan Wang, Mao-Wei Hung, Bing-Huei Lin, Ping-Da Wu
Publication date: 2 December 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-012-9087-8
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Derivative securities (option pricing, hedging, etc.) (91G20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Cites Work
- The pricing of options and corporate liabilities
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- Alternative models for stock price dynamics.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Option pricing when underlying stock returns are discontinuous
- Multinomial Approximating Models for Options with k State Variables
- Option pricing: A simplified approach
- Post-'87 crash fears in the S\&P 500 futures option market
- THE GARCH OPTION PRICING MODEL
- Threshold heteroskedastic models
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- Pricing and hedging long-term options
Cited In (7)
- Lattice-based hedging schemes under GARCH models
- A lattice method for option pricing with two underlying assets in the regime-switching model
- A lattice approach for option pricing under a regime-switching GARCH-jump model
- DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
- A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
- Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
- On accurate and provably efficient GARCH option pricing algorithms
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