Fast Analytic Option Valuation with GARCH

This paper introduces a new method for pricing European style call options with GARCH models. The resulting pricing formula is an explicit function of the model parameters, current spot asset price, exercise price and time to maturity. The emthod under consideration is remarkably fast because no numerical integration procedures are involved. Errors, resulting from approximation and series expansion, are surveyed by Monte-Carlo-methods and turn out be negligible...

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Year of publication:	2008-09-01
Authors:	Mazzoni, Thomas
Institutions:	Fernuniversität <Hagen> / Fakultät für Wirtschaftswissenschaft
Subject:	Preisbildung \| pricing \| Call-Option \| Monte-Carlo-Integration

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Extent:	858112 bytes 23 p. application/pdf
Series:	Fakultät für Wirtschaftswissenschaften - Diskussionsbeiträge 2008 Diskussionsbeitrag ; No. 429 (2008)
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; Financial theory ; Operations research. Other aspects ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868267