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A GARCH Option Pricing Model with Filtered Historical Simulation · Study

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PreprintA GARCH Option Pricing Model with Filtered Historical Simulation

Giovanni Barone‐Adesi2004

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Preprintgreen2004

A GARCH Option Pricing Model with Filtered Historical Simulation

Giovanni Barone‐Adesi · Robert F. Engle · Loriano Mancini

73 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 1978Asset Prices in an Exchange Economy

Cited by

2014Modeling the Dynamics of Correlations among Implied Volatilities 2014Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 2011Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations 2009Option Pricing With Model-Guided Nonparametric Methods 2017The pricing kernel puzzle in forward looking data

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2008A GARCH Option Pricing Model with Filtered Historical Simulationarticle · 43 shared references 2006GARCH Options in Incomplete Marketspreprint · 43 shared references 2005Volatility Forecastingreport · 23 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 22 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 21 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 20 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations73

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.603382

openalex_workW2159164841

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2013

Forecasting the return distribution using high-frequency volatility measures