Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures
Year of publication: |
2022
|
---|---|
Authors: | Chorro, Christophe ; Rahantamialisoa, H. Fanirisoa Zazaravaka |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 5, p. 902-941
|
Subject: | GARCH option pricing models | GARCH implied VIX | estimation strategies | nonmono-tonic stochastic discount factors | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Schätzung | Estimation |
-
CBOE VIX and Jump-GARCH option pricing models
Yoo, Eun Gyu, (2020)
-
Modeling S&P500 returns with GARCH models
Alfaro, Rodrigo, (2023)
-
Jain, Prachi, (2022)
- More ...
-
Option Pricing for Garch-Type Models with Generalized Hyperbolic Innovations
Ielpo, Florian, (2010)
-
Option Pricing for GARCH-Type Models with Generalized Hyperbolic Innovations
Guegan, Dominique, (2010)
-
The Contribution of Intraday Jumps to Forecasting the Density of Returns
Chorro, Christophe, (2019)
- More ...