Index-option pricing with stochastic volatility and the value of accurate variance forecasts

DOI10.1007/BF01531596zbMath1274.91410OpenAlexW3125950913MaRDI QIDQ375251

Alex Kane, Jaesun Noh, Robert F. Engle

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531596

zbMATH Keywords

optionsvarianceindexGARCHvolatilityforecasts

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Forecast Evaluation in the Presence of Unobserved Volatility

Cites Work

• The Pricing of Options and Corporate Liabilities
• A functional central limit theorem for weakly dependent sequences of random variables
• ARCH modeling in finance. A review of the theory and empirical evidence
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Time Series Regression with a Unit Root
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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