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Option pricing based on the generalised Tukey distribution

Jiménez, José Alfredo; Arunachalam, Viswanathan; … - In: International Journal of Financial Markets and Derivatives 3 (2014) 3, pp. 191-221

There is good empirical evidence to show that the financial series, whether stocks or indices, currencies or interest rates do not follow the log-normal random walk underlying the Black-Scholes model, which is the basis for most of the theory of options valuation. This article presents a...

Persistent link: https://www.econbiz.de/10010756275

GARCH option pricing models with Meixner innovations

Fengler, Matthias; Melnikov, Alexander - 2017

Persistent link: https://www.econbiz.de/10011718747

Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility

De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105

Persistent link: https://www.econbiz.de/10011890181

Collateralised option pricing in a South African context: A Univariate GARCH approach

Venter, Pierre J.; Levendis, Alexis; Maré, Eben - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-12

In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of … collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are … surfaces. Finally, the effect of asymmetry is shown by the difference between the symmetric and asymmetric GARCH option price …

Persistent link: https://www.econbiz.de/10015074236

Price discovery in the cryptocurrency option market: A univariate GARCH approach

Venter, Pierre J.; Maré, Eben; Pindza, Edson - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-9

In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models … effects into account. Furthermore, the accuracy of the GARCH option pricing model applied to Bitcoin is tested. Empirical … consistent with findings in the literature. In addition, the GARCH option pricing model provides realistic price discovery within …

Persistent link: https://www.econbiz.de/10014001368

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10010310007

Loss Functions in Option Valuation: A Framework for Model Selection

Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2005

In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...

Persistent link: https://www.econbiz.de/10005791774

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 the simplified component GARCH model

Dziubinski, Matt P. - School of Economics and Management, University of Aarhus - 2011

We introduce the Simplified Component GARCH (SC-GARCH) option pricing model, show and discuss sufficient conditions for …

Persistent link: https://www.econbiz.de/10008854105

Discrete Time Hedging of OTC Options in a GARCH Environment: A Simulation Experiment

Hagerud, Gustaf E. - Economics Institute for Research (SIR), … - 1997

heteroskedastic environment. This is done by a simulation procedure where asset returns are generated from a GARCH (1,1)-t model. In … shown that the variance of the returns on the hedged position is considerably higher in a GARCH (1,1) environment than in a …

Persistent link: https://www.econbiz.de/10005649363