On the determinants of portfolio choice

B Frijns, E Koellen, T Lehnert - Journal of Economic Behavior & …, 2008 - Elsevier
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 …

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 …

[PDF][PDF] Approximating the GJR-GARCH and EGARCH option pricing models analytically

J Duan, G Gauthier, J Simonato… - Journal of Computational …, 2006 - deriscope.com
In Duan, Gauthier and Simonato (1999), an analytical approximation to price European
options in the generalized autoregressive conditional heteroskedastic (GARCH) framework …

Volatility components, affine restrictions, and nonnormal innovations

P Christoffersen, C Dorion, K Jacobs… - Journal of Business & …, 2010 - Taylor & Francis
Here we assess the return fitting and option valuation performance of generalized
autoregressive conditional heteroscedasticity (GARCH) models. We compare component …

Behavioral heterogeneity in the option market

B Frijns, T Lehnert, RCJ Zwinkels - Journal of Economic Dynamics and …, 2010 - Elsevier
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 …

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 …

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 …

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 …

[BOOK][B] Computational intelligence applications to option pricing, volatility forecasting and value at risk

F Mostafa, T Dillon, E Chang - 2017 - Springer
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 …

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 …