Fast and realistic European ARCH option pricing and hedging

DOI10.1080/14697688.2012.750009zbMath1281.91193OpenAlexW1986348699MaRDI QIDQ5397413

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Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.750009

zbMATH Keywords

simulationoption pricingimplied volatilitydelta hedgingARCH processcross-product approximationreplication risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Market calibration under a long memory stochastic volatility model

Cites Work

• Characterizing heteroskedasticity
• Option pricing with realistic ARCH processes
• THE GARCH OPTION PRICING MODEL
• Processes for stocks capturing their statistical properties from one day to one year
• Using relative returns to accommodate fat-tailed innovations in processes and option pricing

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