Download or read book Range Based EGARCH Option Pricing Models written by J Kinlay and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The research in this paper is focused on the innovative range-based volatility models introduced in Alizadeh, Brandt, and Diebold (2002) (hereafter ABD). We develop new option pricing models using multi-factor diffusion approximations couched within this theoretical framework and examine their properties in comparison with the traditional Black-Scholes model.
Download or read book Analytical Approximations for the GJR GARCH and EGARCH Option Pricing Models written by Duan, Jin-Chuan and published by Montréal : Groupe d'études et de recherche en analyse des décisions. This book was released on 2004 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advanced Option Pricing Models written by Jeffrey Owen Katz and published by McGraw Hill Professional. This book was released on 2005-02-04 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and curve fitting, and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.
Download or read book Option Pricing Using EGARCH Models written by Christian Schmitt and published by . This book was released on 1996 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Time Series Approach to Option Pricing written by Christophe Chorro and published by Springer. This book was released on 2014-12-04 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.
Download or read book GARCH Option Pricing with Implied Volatility written by B. Wade Brorsen and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized autoregressive conditional heteroskedasticity (GARCH) option pricing models (OPM) with historical volatility have proven superior to the log-normality assumption of the Black option pricing model with historical volatility. This paper estimates implied volatilities from GARCH OPM. The estimated implied volatilities are used to forecast option premia. The GARCH implied volatilities are more stable than the Black implied volatilities. The GARCH OPM with implied volatility should provide better guidance to market makers and arbitragers than the Black option pricing model with implied volatility for options ranging from six to sixteen days to maturity. For options ranging from 21 to 50 days to maturity the Black OPM with implied volatility should provide better guidance to market makers and arbitragers than the GARCH OPM with implied volatility.
Download or read book A Closed form GARCH Option Pricing Model written by Steven L. Heston and published by . This book was released on 1997 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book GARCH 1 1 and EGARCH Models in Currency Option Pricing written by Fenna Chen and published by . This book was released on 2005 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Black Scholes and Beyond Option Pricing Models written by Neil Chriss and published by McGraw-Hill. This book was released on 1997 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
Download or read book Neglecting Parameter Changes in GARCH Option Pricing Models and VAR written by Burak Hurmeydan and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Paul Wilmott Introduces Quantitative Finance written by Paul Wilmott and published by John Wiley & Sons. This book was released on 2013-10-18 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.
Download or read book A GARCH Option Pricing Model with Filtered Historical Simulation written by Giovanni Barone-Adesi and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model's flexibility to fit market option prices. An extensive empirical analysis based on Samp;P 500 index options shows that our model outperforms other competing GARCH pricing models and ad hoc Black-Scholes models. We show that the flexible change of measure, the asymmetric GARCH volatility, and the nonparametric innovation distribution induce the accurate pricing performance of our model. Using a nonparametric approach, we obtain decreasing state-price densities per unit probability as suggested by economic theory and corroborating our GARCH pricing model. Implied volatility smiles appear to be explained by asymmetric volatility and negative skewness of filtered historical innovations.
Download or read book The Pricing of Options on WIG20 Using GARCH Models written by Szymon Kaminski and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper the application of several option pricing models has been tested on the basis of options traded on the Warsaw Stock Exchange. The models have been evaluated by comparing option prices estimates to prices observed on the market. The chosen models are: a few alternative versions of the Duan (1995) GARCH Option Pricing Model, and two versions of the model by Black (1976). A separate section is devoted to the impact of the implied dividend yield on prices of options. The study covers a period from January 2006 to March 2012. Results show that the most accurate models are the Black model with a volatility term structure, and the Duan GARCH Option Pricing Model with implied dividend yield and Student's T random errors.
Download or read book A Comparison of GARCH Option Pricing Models written by Arvid Voormanns and published by . This book was released on 2016-10-27 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling Dependence in Econometrics written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.
Download or read book Option Pricing in Incomplete Markets written by Yoshio Miyahara and published by World Scientific. This book was released on 2012 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
