This paper proposes an alternative Threshold-GARCH (TGARCH) option pricing model, which is a modification of the TGARCH model introduced by Härdle and Hafner (2000). Some moment properties of the proposed model are analytically proven. Parameter estimations are analyzed by the Bayesian approach...

This paper proposes a simple algorithm extending the discrete CRR (1979) model to evaluate vulnerable derivatives, which include two stochastic processes, the underlying stock price and the assets value of the option writer. Introducing the concept of expected intrinsic value, univariate...