Search Results - person:"Sabbatini, Michael" - EconBiz

A GARCH model of the implied volatility of the Swiss Market Index from options prices

Linton, Oliver; Sabbatini, Michael - London School of Economics (LSE) - 2004

This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices of options written on it. A GARCH(1,1) model is shown to be a good parameterization of the process. Then, using the GARCH option pricing model of Duan (1991), the implied...

Persistent link: https://www.econbiz.de/10010746119

A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices

Sabbatini, Michael; Linton, Oliver - Financial Markets Group - 2004

This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices of options written on it. A GARCH(1,1) model is shown to be a good parameterization of the process. Then, using the GARCH option pricing model of Duan (1991), the implied...

Persistent link: https://www.econbiz.de/10005073768

A GARCH model of the implied volatility of the Swiss market index from options prices

Linton, Oliver; Sabbatini, Michael - 2004

Persistent link: https://www.econbiz.de/10002815616

A GARCH model of the implied volatility of the Swiss market index from option prices

Sabbatini, Michael - In: International journal of forecasting 14 (1998) 2, pp. 199-213

Persistent link: https://www.econbiz.de/10001338711

A GARCH model of the implied volatility of the Swiss market index from option prices

Sabbatini, Michael; Linton, Oliver - In: International journal of forecasting 14 (1998) 2, pp. 199-214

Persistent link: https://www.econbiz.de/10006993772

A service of the