A lattice model for option pricing under GARCH-jump processes

DOI10.1007/S11147-012-9087-8MaRDI QIDQ385653zbMATH OpenOpenAlexFDO

Authors Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang, 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

zbMATH Keywords

option pricinglattice modeljump-diffusion processGARCH processGARCH-jump process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
• 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
• Generalized autoregressive conditional heteroscedasticity
• Multinomial Approximating Models for Options with k State Variables
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• Post-'87 crash fears in the S\&P 500 futures option market
• Pricing and hedging long-term options
• 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
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities
• Threshold heteroskedastic models

Cited in

(8)

• 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
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
• 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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