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Implied ARCH models from options prices · Study

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ArticleImplied ARCH models from options prices

Robert F. Engle1992

Article1992

Implied ARCH models from options prices

Robert F. Engle · Mustafa Chowdhury

297 citations·0/0 files stored·Journal of Econometrics

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1965The Behavior of Stock-Market Prices 1987Expected stock returns and volatility 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets 1976The valuation of options for alternative stochastic processes 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Cited by

2004Which GARCH Model for Option Valuation?1991Measuring and Testing the Impact of News on Volatility 2005Option valuation with conditional skewness 2008A GARCH Option Pricing Model with Filtered Historical Simulation 199520 Testing option pricing models 1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility

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Details

Year1992

Typearticle

Published1992-04-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations297

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0304-4076(92)90074-2

openalex_workW2083409253

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2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets

1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1