Option pricing with realistic ARCH processes

DOI10.1080/14697688.2013.816437zbMath1294.91180OpenAlexW2027733292MaRDI QIDQ2879018

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Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.816437

zbMATH Keywords

option pricingimplied volatilityARCH processStudent innovationslong memory volatilitySP500 European options

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Market calibration under a long memory stochastic volatility model ⋮ Fast and realistic European ARCH option pricing and hedging

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• THE GARCH OPTION PRICING MODEL
• A Discrete Time Equivalent Martingale Measure
• Processes for stocks capturing their statistical properties from one day to one year

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