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GARCH Option Valuation: Theory and Evidence · Study

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PreprintGARCH Option Valuation: Theory and Evidence

Peter Christoffersen2012

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Preprintgreen2012

GARCH Option Valuation: Theory and Evidence

Peter Christoffersen · Kris Jacobs · Chayawat Ornthanalai

18 citations·0/0 files stored·SSRN Electronic Journal

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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 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets

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2021Pricing VIX options with realized volatility

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Details

Year2012

Typepreprint

Published2012-05-09

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2054859

openalex_workW2129762258

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