American option pricing under GARCH diffusion model: an empirical study
From MaRDI portal
Publication:741895
DOI10.1007/s11424-014-3279-2zbMath1295.91095OpenAlexW2008360001MaRDI QIDQ741895
Xiujuan Zhao, Wenyu Yang, Xin-Yu Wu, Chao-Qun Ma
Publication date: 15 September 2014
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-014-3279-2
maximum likelihoodAmerican optionleast-squares Monte Carloefficient importance samplingGARCH diffusion model
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On leverage in a stochastic volatility model
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
- Efficient high-dimensional importance sampling
- Testing the assumptions behind importance sampling
- An option pricing formula for the GARCH diffusion model
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Alternative models for stock price dynamics.
- Spectral GMM estimation of continuous-time processes
- An analysis of a least squares regression method for American option pricing
- An improved simulation method for pricing high-dimensional American derivatives.
- The valuation of multidimensional American real options using the LSM simulation method
- ARCH models as diffusion approximations
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Estimation of affine asset pricing models using the empirical characteristic function
This page was built for publication: American option pricing under GARCH diffusion model: an empirical study
