On the determinants of portfolio choice
This paper jointly analyzes traditional and behavioral concepts in a simple experimental
setting which allows for the assessment of the relative importance of each factor and their …
setting which allows for the assessment of the relative importance of each factor and their …
GARCH option valuation: theory and evidence
P Christoffersen, K Jacobs, C Ornthanalai - 2012 - pure.au.dk
We survey the theory and empirical evidence on GARCH option valuation models. Our
treatment includes the range of functional forms available for the volatility dynamic …
treatment includes the range of functional forms available for the volatility dynamic …
[PDF][PDF] Approximating the GJR-GARCH and EGARCH option pricing models analytically
In Duan, Gauthier and Simonato (1999), an analytical approximation to price European
options in the generalized autoregressive conditional heteroskedastic (GARCH) framework …
options in the generalized autoregressive conditional heteroskedastic (GARCH) framework …
Volatility components, affine restrictions, and nonnormal innovations
Here we assess the return fitting and option valuation performance of generalized
autoregressive conditional heteroscedasticity (GARCH) models. We compare component …
autoregressive conditional heteroscedasticity (GARCH) models. We compare component …
Behavioral heterogeneity in the option market
This paper develops and tests a heterogeneous agents model for the option market. Our
agents have different beliefs about the future level of volatility of the underlying stock index …
agents have different beliefs about the future level of volatility of the underlying stock index …
American option pricing using GARCH models and the normal inverse Gaussian distribution
L Stentoft - Journal of Financial Econometrics, 2008 - academic.oup.com
In this paper we propose a feasible way to price American options in a model with time-
varying volatility and conditional skewness and leptokurtosis, using GARCH processes and …
varying volatility and conditional skewness and leptokurtosis, using GARCH processes and …
REIT volatility prediction for skew-GED distribution of the GARCH model
YH Lee, TY Pai - Expert Systems with Applications, 2010 - Elsevier
This study investigates how specification of return distribution for REIT influences the
performance of volatility forecasting using three GARCH models (GARCH-N, GARCH-ST …
performance of volatility forecasting using three GARCH models (GARCH-N, GARCH-ST …
Jump starting GARCH: Pricing and hedging options with jumps in returns and volatilities
JC Duan, PH Ritchken, Z Sun - 2006 - papers.ssrn.com
This paper considers the pricing of options when there are jumps in the pricing kernel and
correlated jumps in asset returns and volatilities. Our model nests Duan's GARCH option …
correlated jumps in asset returns and volatilities. Our model nests Duan's GARCH option …
[BOOK][B] Computational intelligence applications to option pricing, volatility forecasting and value at risk
Increasingly there are many sources of uncertainty in markets. These sources of uncertainty
can have adverse effects on the evaluation of portfolio risk exposure. This uncertainty in the …
can have adverse effects on the evaluation of portfolio risk exposure. This uncertainty in the …
Volatility risk premium implications of GARCH option pricing models
I Papantonis - Economic modelling, 2016 - Elsevier
In this paper we explore important implications of capturing volatility risk premium (VRP)
within a parametric GARCH setting. We study the transmission mechanism of shocks from …
within a parametric GARCH setting. We study the transmission mechanism of shocks from …