An empirical comparison of GARCH option pricing models

DOI10.1007/s11147-006-9001-3zbMath1201.91229OpenAlexW2022852674MaRDI QIDQ867119

Peter H. Ritchken, Kwang-Chung Hsieh

Publication date: 14 February 2007

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

Full work available at URL: https://doi.org/10.1007/s11147-006-9001-3

zbMATH Keywords

Heston and Nandi modelNGARCH option modelstesting GARCH models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Bayesian option pricing using mixed normal heteroskedasticity models ⋮ A stochastic semidefinite programming approach for bounds on option pricing under regime switching ⋮ Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions ⋮ Historical simulation approach to the estimation of stochastic discount factor models ⋮ Bank default indicators with volatility clustering ⋮ Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes ⋮ A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS ⋮ Smoothly truncated stable distributions, GARCH-models, and option pricing

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Long-term equity anticipation securities and stock market volatility dynamics
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Reconsidering the continuous time limit of the GARCH(1,1) process
• ARCH models as diffusion approximations
• Empirical Martingale Simulation for Asset Prices
• THE GARCH OPTION PRICING MODEL
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
• American option pricing under GARCH by a Markov chain approximation

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