Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition

DOI10.1080/14697688.2018.1444534MaRDI QIDQ5026530zbMATH OpenOpenAlexWikidataFDO

Authors Qiuling Hua, Tingfeng Jiang, Zhang Cheng

Publication date 8 February 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2018.1444534

zbMATH Keywords

GARCH processimproved EEMDoption pricingstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Applications of Hilbert–Huang transform to non‐stationary financial time series analysis
• Discrete time option pricing with flexible volatility estimation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Option pricing when underlying stock returns are discontinuous
• Pricing options on discrete realized variance with partially exact and bounded approximations
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(3)

• Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution
• Monte Carlo option pricing under simplified self-financing condition
• An empirical comparison of GARCH option pricing models

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