Evaluating volatility forecasts in option pricing in the context of a simulated options market

DOI10.1016/j.csda.2004.05.030zbMath1429.62481OpenAlexW2033979402MaRDI QIDQ957226

Stavros Degiannakis, Evdokia Xekalaki

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/80468/1/MPRA_paper_80468.pdf

zbMATH Keywords

model selectionoption pricingARCH modelspredictabilityforecast volatilitystandardized prediction error citerion

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors ⋮ Second special issue on computational econometrics ⋮ Implied volatility in oil markets ⋮ An analysis of the flexibility of asymmetric power GARCH models ⋮ Bayesian testing for non-linearity in volatility modeling

Cites Work

• The Pricing of Options and Corporate Liabilities
• ARCH modeling in finance. A review of the theory and empirical evidence
• Estimating the dimension of a model
• Autoregressive conditional heteroskedasticity and changes in regime
• ARCH models and financial applications
• Forecasting exchange rate volatility.
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Quadratic ARCH Models
• Predictability and model selection in the context of ARCH models
• Modeling and Forecasting Realized Volatility
• Handbook of econometrics. Vol. 4
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