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GARCH option pricing models with Meixner innovations
Fengler, Matthias; Melnikov, Alexander - 2017
Persistent link: https://www.econbiz.de/10011718747
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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
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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
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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
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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
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Price discovery in the cryptocurrency option market : a univariate GARCH approach
Venter, Pierre J.; Maré, E.; 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/10013179502
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 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/10010956419
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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
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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
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Bayesian option pricing using asymmetric GARCH
BAUWENS, LUC; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1997
metric. The methods are illustrated using an asymmetric GARCH model with a data set on a stock index in Brussels. The …
Persistent link: https://www.econbiz.de/10005008451