THE GARCH OPTION PRICING MODEL
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Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Option pricing when underlying stock returns are discontinuous
- Stationarity of GARCH processes and of some nonnegative time series
- Stock price distributions with stochastic volatility: an analytic approach
- The pricing of options and corporate liabilities
Cited in
(only showing first 100 items - show all)- Smoothly truncated stable distributions, GARCH-models, and option pricing
- Strong consistency of the empirical martingale simulation option price estimator
- Option pricing under the Merton model of the short rate
- Long-term equity anticipation securities and stock market volatility dynamics
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Monte Carlo methods for security pricing
- Empirical assessment of an intertemporal option pricing model with latent variables.
- The GARCH-stable option pricing model
- Volatility smile as relativistic effect
- Asymptotic distribution of the EPMS estimator for financial derivatives pricing
- Multivariate GARCH estimation via a Bregman-proximal trust-region method
- VIX forecast under different volatility specifications
- Asynchronous iterations of parareal algorithm for option pricing models
- GARCH option pricing models with Meixner innovations
- Option pricing with ARIMA-GARCH models of underlying asset returns
- Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- Modeling record-breaking stock prices
- Chebyshev reduced basis function applied to option valuation
- Asymptotic nonequivalence of GARCH models and diffusions
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- A lattice method for option evaluation with regime-switching asset correlation structure
- Option pricing with discrete time jump processes
- Quadratic hedging schemes for non-Gaussian GARCH models
- A profitable modification to global quadratic hedging
- Option pricing with conditional GARCH models
- Option valuation under no-arbitrage constraints with neural networks
- Bank default indicators with volatility clustering
- Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
- An accurate European option pricing model under fractional stable process based on Feynman path integral
- The pricing of European options on two underlying assets with delays
- Option valuation with IG-GARCH model and a U-shaped pricing kernel
- The leverage effect puzzle revisited: identification in discrete time
- \textit{SMART-or} and \textit{SMART-and} fuzzy average operators: a generalized proposal
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
- Forecasting the volatility of crude oil futures using intraday data
- A realized volatility approach to option pricing with continuous and jump variance components
- Lattice methods for pricing American strangles with two-dimensional stochastic volatility models
- Stochastic volatility models with application in option pricing
- Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
- American option pricing under GARCH with non-normal innovations
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Model-based pricing for financial derivatives
- Smile from the past: a general option pricing framework with multiple volatility and leverage components
- COMFORT: a common market factor non-Gaussian returns model
- The pricing of options for securities markets with delayed response
- An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
- Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
- High-order ADI scheme for option pricing in stochastic volatility models
- Tracking volatility
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- Bivariate option pricing using dynamic copula models
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- Multi-criteria classification for pricing European options
- Learning for infinitely divisible GARCH models in option pricing
- Econometric specification of stochastic discount factor models
- Hedging barrier options in GARCH models with transaction costs
- A modified empirical martingale simulation for financial derivative pricing
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- GARCH options via local risk minimization
- Option pricing with realistic ARCH processes
- Estimation of tail-related value-at-risk measures: range-based extreme value approach
- Bayesian analysis of equity-linked savings contracts with American-style options
- Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
- Optimal hedging of American options in discrete time
- Option valuation with conditional skewness
- Option pricing in a conditional bilateral Gamma model
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- Dynamic programming and hedging strategies in discrete time
- Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
- Non-Gaussian GARCH option pricing models and their diffusion limits
- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
- scientific article; zbMATH DE number 5308549 (Why is no real title available?)
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING
- On data-based optimal stopping under stationarity and ergodicity
- Ant Colony Optimization for Option Pricing
- CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
- A lattice model for option pricing under GARCH-jump processes
- Option pricing and hedging under a stochastic volatility Lévy process model
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Decision-making in incomplete markets with ambiguity -- a case study of a gas field acquisition
- Option valuation with infinitely divisible distributions
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- Pricing vulnerable European options with stochastic correlation
- Option pricing under regime switching
- A two-state jump model
- Options and earnings announcements: an empirical study for the European Options Exchange
- Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
- Realistic Statistical Modelling of Financial Data
- GARCH-in-mean models with asymmetric variance processes for bivariate European option evaluation
- Equal risk pricing of derivatives with deep hedging
- Lattice-based hedging schemes under GARCH models
- Option pricing under autoregressive random variance models
- Validation of long-term equity return models for equity-linked guarantees
- Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
- Asynchronous time-parallel method based on Laplace transform
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