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Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations

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  • Suk Joon Byun
  • Byungsun Min

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  • Suk Joon Byun & Byungsun Min, 2013. "Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 1-28, January.
    • Handle: RePEc:wly:jfutmk:v:33:y:2013:i:1:p:1-28
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    Cited by:

    1. Haibin Xie & Xinyu Wu & Pengying Fan, 2021. "Accelerating FHS Option Pricing Under Linear GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 395-411, August.
    2. Liu, Qiang & Guo, Shuxin & Qiao, Gaoxiu, 2015. "VIX forecasting and variance risk premium: A new GARCH approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 314-322.
    3. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
    4. Huang, Hung-Hsi & Lin, Shin-Hung & Wang, Chiu-Ping, 2019. "Reasonable evaluation of VIX options for the Taiwan stock index," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 111-130.
    5. Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.

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