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ArticleGARCH option pricing with volatility derivatives

Dong Hwan Oh2022

Article2022

GARCH option pricing with volatility derivatives

Dong Hwan Oh · Yang‐Ho Park

21 citations·0/0 files stored·Journal of Banking & 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 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976The pricing of commodity contracts 1999Option valuation using the fast Fourier transform 2002Comparing Predictive Accuracy 2000Post-'87 crash fears in the S&P 500 futures option market 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options 2008Variance Risk Premiums

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Year2022

Typearticle

Published2022-10-31

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2022.106718

openalex_workW4307739784

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