Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
pricing, finite mixture models, out-ofsample prediction,
GARCH models.
JEL Classification: C11, C15, C22, G13 …
heteroskedasticity (GARCH) framework has been used for option pricing using the model of
Duan (1995). This model has also been used with … the GARCH models
diminish the mispricings found when using the constant volatility BSM model. Stentoft
(2005) documents …