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GARCH Option Valuation: Theory and Evidence

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - School of Economics and Management, University of Aarhus - 2012

We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of … between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte …

Persistent link: https://www.econbiz.de/10010851269

Which GARCH Model for Option Valuation?

Christoffersen, Peter; Jacobs, Kris - In: Management Science 50 (2004) 9, pp. 1204-1221

literature on GARCH models favors some rather complex volatility specifications whose relative performance is usually assessed … through their likelihood based on a time series of asset returns. This paper compares a range of GARCH models along a …

Persistent link: https://www.econbiz.de/10009197435

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...

Persistent link: https://www.econbiz.de/10004976982

Option Valuation with Long-run and Short-run Volatility Components

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - School of Economics and Management, University of Aarhus - 2008

This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model can be...

Persistent link: https://www.econbiz.de/10005440047

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - School of Economics and Management, University of Aarhus - 2009

Persistent link: https://www.econbiz.de/10005037432

Short and Long Memory in Equilibrium Interest Rate Dynamics

Duan, Jin-Chuan; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper analyzes a large class of processes for the short-term interest rate that are derived in a discrete-time equilibrium framework. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the state variable. Under appropriate parameter...

Persistent link: https://www.econbiz.de/10005100611

Which Volatility Model for Option Valuation?

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns....

Persistent link: https://www.econbiz.de/10005100917

Option Valuation with Long-run and Short-run Volatility Components

Christoffersen, Peter; Jacobs, Kris; Wang, Yintian - Centre Interuniversitaire de Recherche en Analyse des … - 2004

This paper presents a new model for the valuation of European options. In our model, the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model...

Persistent link: https://www.econbiz.de/10005101069

Option Valuation with Conditional Skewness

Christoffersen, Peter; Heston, Steve; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003

options shows that the new Inverse Gaussian GARCH model's performance is superior to a standard existing nested model for out …-of-the money puts, thus demonstrating the importance of conditional skewness. The discrete-time Inverse Gaussian GARCH process has … sur l'indice S&P500 montre que la performance du nouveau modèle GARCH gaussien inverse est supérieure à celle des modèles …

Persistent link: https://www.econbiz.de/10005101071