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Which Volatility Model for Option Valuation?

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  • Peter Christoffersen
  • Kris Jacobs

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  • Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
    • Handle: RePEc:cir:cirwor:2002s-33
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    File URL: https://cirano.qc.ca/files/publications/2002s-33.pdf
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    Citations

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    Cited by:

    1. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
    2. Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006. "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284.
    3. Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models," MPRA Paper 96324, University Library of Munich, Germany.
    4. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
    5. Christoffersen, Peter & Dorion, Christian & Jacobs, Kris & Wang, Yintian, 2010. "Volatility Components, Affine Restrictions, and Nonnormal Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 483-502.
    6. Duan, Jin-Chuan & Wei, Jason, 2005. "Executive stock options and incentive effects due to systematic risk," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1185-1211, May.

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    More about this item

    Keywords

    option pricing; GARCH; risk-neutral pricing; parsimony; forecasting; out-of-sample; évaluation d'options; GARCH; fixation des prix neutre au risque; prévision; parcimonie; hors-échantillon;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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