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
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