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Option Valuation with Conditional Heteroskedasticity and Non-Normality · Study

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PreprintOption Valuation with Conditional Heteroskedasticity and Non-Normality

Peter Christoffersen2009

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Preprintgreen2009

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Peter Christoffersen · Redouane Elkamhi · Bruno Feunou · Kris Jacobs

20 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 1979Option pricing: A simplified approach 1992ARCH modeling in finance

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2012GARCH Option Valuation: Theory and Evidence

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.961512

openalex_workW2137456747

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