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Pricing American options when the underlying asset follows GARCH processes · Study

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ArticlePricing American options when the underlying asset follows GARCH processes

Lars Stentoft2005

Article2005

Pricing American options when the underlying asset follows GARCH processes

71 citations·0/0 files stored·Journal of Empirical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2016“Options, Futures, and Other Derivatives”1992ARCH modeling in finance 2003Options, Futures and Other Derivatives

Cited by

2015Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model 2013GARCH Option Valuation:Theory and Evidence 2007GARCH option pricing: A semiparametric approach 2010Pricing and hedging American-style options: a simple simulation-based approach 2008Volatility Components, Affine Restrictions and Non-Normal Innovations 2008Dynamic Programming Approach for Valuing Options in the GARCH Model

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2013GARCH Option Valuation:Theory and Evidencearticle · 23 shared references 2005Volatility Forecastingreport · 20 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 18 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 17 shared references 2004Which GARCH Model for Option Valuation?article · 17 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 17 shared references

Details

Year2005

Typearticle

Published2005-09-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations71

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jempfin.2004.08.001

openalex_workW2017221293

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