• Title of article

    The GARCH-stable option pricing model

  • Author/Authors

    Hauksson، نويسنده , , H.A. and Rachev، نويسنده , , S.T.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2001
  • Pages
    14
  • From page
    1199
  • To page
    1212
  • Abstract
    An option pricing model is developed based on a generalized autoregressive conditional heteroskedastic (GARCH) asset return process with stable Paretian innovations. Our approach is based on the locally risk-neutral valuation relationship. Methods for maximum likelihood estimation of GARCH-stable processes are presented as well as empirical results for the DAX index. Finally, the results of Monte Carlo simulations evaluating prices of European call options, implied volatility, delta hedging parameters, and value at risk are presented.
  • Keywords
    Locally risk-neutral valuation , Option Pricing , stable distributions , GARCH-table processes
  • Journal title
    Mathematical and Computer Modelling
  • Serial Year
    2001
  • Journal title
    Mathematical and Computer Modelling
  • Record number

    1592274