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Which GARCH Model for Option Valuation?
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Cited by:
- Audrino, Francesco & Fengler, Matthias R., 2015.
"Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data,"
Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
- Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
- Isabel Casas & Helena Veiga, 2021.
"Exploring Option Pricing and Hedging via Volatility Asymmetry,"
Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
- Casas, Isabel, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Javier Sánchez García & Salvador Cruz Rambaud, 2022. "A GARCH approach to model short‐term interest rates: Evidence from Spanish economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1621-1632, April.
- Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
- 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.
- Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO.
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, Department of Economics and Business Economics, Aarhus University.
- Javier Frutos & Víctor Gatón, 2017. "Chebyshev reduced basis function applied to option valuation," Computational Management Science, Springer, vol. 14(4), pages 465-491, October.
- Xin‐Jiang He & Wenting Chen, 2021. "A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 343-352, January.
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011.
"Modeling structural changes in the volatility process,"
Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
- Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-05, Luxembourg School of Finance, University of Luxembourg.
- Lieberman, Offer & Phillips, Peter C.B., 2017.
"A multivariate stochastic unit root model with an application to derivative pricing,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 99-110.
- Offer Lieberman & Peter C.B. Phillips, 2014. "A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing," Cowles Foundation Discussion Papers 1964, Cowles Foundation for Research in Economics, Yale University.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022.
"Option pricing with state‐dependent pricing kernel,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021. "Option Pricing with State-dependent Pricing Kernel," Papers 2112.05308, arXiv.org, revised Apr 2022.
- Ozun, Alper & Cifter, Atilla, 2007. "Nonlinear Combination of Financial Forecast with Genetic Algorithm," MPRA Paper 2488, University Library of Munich, Germany.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2014.
"Bayesian option pricing using mixed normal heteroskedasticity models,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
- He, Xin-Jiang & Zhu, Song-Ping, 2016. "An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 77-85.
- Thorsten Lehnert & Gildas Blanchard & Dennis Bams, 2014. "Evaluating Option Pricing Model Performance Using Model Uncertainty," LSF Research Working Paper Series 14-06, Luxembourg School of Finance, University of Luxembourg.
- Rachid Belhachemi, 2024. "Option Valuation with Conditional Heteroskedastic Hidden Truncation Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2585-2601, June.
- Zhang, Yuanyuan & Zhang, Qian & Wang, Zerong & Wang, Qi, 2024. "Option valuation via nonaffine dynamics with realized volatility," Journal of Empirical Finance, Elsevier, vol. 77(C).
- Petra Posedel Šimović & Azra Tafro, 2021. "Pricing the Volatility Risk Premium with a Discrete Stochastic Volatility Model," Mathematics, MDPI, vol. 9(17), pages 1-15, August.
- Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012.
"A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew,"
Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 457-493, June.
- Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
- Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014.
"The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options,"
International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
- Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018.
"Testing for leverage effects in the returns of US equities,"
Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2018. "Testing for leverage effects in the returns of US equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01917590, HAL.
- Barr, Kanlaya Jintanakul, 2009. "The implied volatility bias and option smile: is there a simple explanation?," ISU General Staff Papers 200901010800002026, Iowa State University, Department of Economics.
- Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
- Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
- Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007.
"Practical Volatility and Correlation Modeling for Financial Market Risk Management,"
NBER Chapters, in: The Risks of Financial Institutions, pages 513-544,
National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).
- Michèle Breton & Javier de Frutos, 2010. "Option Pricing Under GARCH Processes Using PDE Methods," Operations Research, INFORMS, vol. 58(4-part-2), pages 1148-1157, August.
- Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015.
"Option pricing with non-Gaussian scaling and infinite-state switching volatility,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
- Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers 1307.6322, arXiv.org, revised May 2014.
- Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
- Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
- Zhu, Ke & Ling, Shiqing, 2015.
"Model-based pricing for financial derivatives,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
- Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
- Hatem Ben-Ameur & Michèle Breton & Juan-Manuel Martinez, 2009. "Dynamic Programming Approach for Valuing Options in the GARCH Model," Management Science, INFORMS, vol. 55(2), pages 252-266, February.
- Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006.
"Option valuation with conditional skewness,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284.
- Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO.
- Hu, Jun & Kanniainen, Juho, 2015. "Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics," Finance Research Letters, Elsevier, vol. 14(C), pages 1-10.
- Lars Stentoft, 2008.
"American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 540-582, Fall.
- Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, Department of Economics and Business Economics, Aarhus University.
- Chuo Chang, 2020. "Dynamic correlations and distributions of stock returns on China's stock markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(1), pages 1-6.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010.
"Option Valuation with Conditional Heteroskedasticity and Nonnormality,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2015.
"Option pricing with asymmetric heteroskedastic normal mixture models,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 635-650.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers 2010-44, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CIRANO Working Papers 2010s-38, CIRANO.
- Badescu, Alexandru M. & Kulperger, Reg J., 2008. "GARCH option pricing: A semiparametric approach," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 69-84, August.
- Lu, Linna & Lei, Yalin & Yang, Yang & Zheng, Haoqi & Wang, Wen & Meng, Yan & Meng, Chunhong & Zha, Liqiang, 2023. "Assessing nickel sector index volatility based on quantile regression for Garch and Egarch models: Evidence from the Chinese stock market 2018–2022," Resources Policy, Elsevier, vol. 82(C).
- Monfort, Alain & Pegoraro, Fulvio, 2012.
"Asset pricing with Second-Order Esscher Transforms,"
Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
- Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Center for Research in Economics and Statistics.
- Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
- Jing, Bo & Li, Shenghong & Ma, Yong, 2021. "Consistent pricing of VIX options with the Hawkes jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Zhiyuan Pan & Yudong Wang & Li Liu, 2021. "Realized bipower variation, jump components, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1933-1958, December.
- Matthias R. Fengler & Alexander Melnikov, 2018.
"GARCH option pricing models with Meixner innovations,"
Review of Derivatives Research, Springer, vol. 21(3), pages 277-305, October.
- Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
- Javier de Frutos & Victor Gaton, 2017. "Chebyshev Reduced Basis Function applied to Option Valuation," Papers 1701.01429, arXiv.org, revised Jun 2017.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.
- Fang Liang & Lingshan Du, 2024. "Option pricing with dynamic conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1154-1188, July.
- Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
- Lin, Shin-Hung & Huang, Hung-Hsi & Li, Sheng-Han, 2015. "Option pricing under truncated Gram–Charlier expansion," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 77-97.
- Simon Lalancette & Jean†Guy Simonato, 2017. "The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation," European Financial Management, European Financial Management Association, vol. 23(2), pages 325-354, March.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
- 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.
- Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
- Ballestra, Luca Vincenzo & D’Innocenzo, Enzo & Guizzardi, Andrea, 2024. "A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1185-1194.
- Stentoft, Lars, 2011.
"American option pricing with discrete and continuous time models: An empirical comparison,"
Journal of Empirical Finance, Elsevier, vol. 18(5), pages 880-902.
- Lars Stentoft, 2011. "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers 2011-34, Department of Economics and Business Economics, Aarhus University.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
Working Papers
2006-28, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
- Wenjun Zhang & Jin E. Zhang, 2020. "GARCH Option Pricing Models and the Variance Risk Premium," JRFM, MDPI, vol. 13(3), pages 1-21, March.
- Mozumder, Sharif & Frijns, Bart & Talukdar, Bakhtear & Kabir, M. Humayun, 2024. "On practitioners closed-form GARCH option pricing," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
- Geon Choe & Kyungsub Lee, 2014. "Conditional correlation in asset return and GARCH intensity model," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(3), pages 197-224, July.
- Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
- Mahringer, Steffen & Prokopczuk, Marcel, 2015.
"An empirical model comparison for valuing crack spread options,"
Energy Economics, Elsevier, vol. 51(C), pages 177-187.
- Steffen Mahringer & Marcel Prokopczuk, 2010. "An Empirical Model Comparison for Valuing Crack Spread Options," ICMA Centre Discussion Papers in Finance icma-dp2010-01, Henley Business School, University of Reading.
- Oh, Dong Hwan & Park, Yang-Ho, 2023. "GARCH option pricing with volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 146(C).
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010.
"Behavioral heterogeneity in the option market,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series 09-07, Luxembourg School of Finance, University of Luxembourg.
- Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010. "Behavioral heterogeneity in the option market," Post-Print hal-00736742, HAL.
- Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, vol. 111(C).
- Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
- Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2021.
"Challenges in approximating the Black and Scholes call formula with hyperbolic tangents,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 73-100, June.
- Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2018. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Papers 1810.04623, arXiv.org.
- Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010.
"A comparison of biased simulation schemes for stochastic volatility models,"
Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 177-194.
- Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
- Papantonis, Ioannis, 2016. "Volatility risk premium implications of GARCH option pricing models," Economic Modelling, Elsevier, vol. 58(C), pages 104-115.
- Radovan Parrák, 2013. "The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach," Working Papers IES 2013/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2013.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008.
"Volatility forecasting: Intra-day versus inter-day models,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 449-465, December.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: Intra-day versus inter-day models," MPRA Paper 96322, University Library of Munich, Germany.
- Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
- Junting Liu & Qi Wang & Yuanyuan Zhang, 2024. "VIX option pricing through nonaffine GARCH dynamics and semianalytical formula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1189-1223, July.
- van Dieijen, M.J. & Borah, A. & Tellis, G.J. & Franses, Ph.H.B.F., 2016. "Volatility Spillovers Across User-Generated Content and Stock Market Performance," ERIM Report Series Research in Management ERS-2016-008-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Bo Jing & Shenghong Li & Yong Ma, 2020. "Pricing VIX options with volatility clustering," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 928-944, June.
- Chen Tong & Zhuo Huang, 2021. "Pricing VIX options with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1180-1200, August.
- Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.
- Juho Kanniainen & Robert Pich'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
- Liu, Chang & Chang, Chuo, 2021. "Combination of transition probability distribution and stable Lorentz distribution in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
- Jin-Chuan Duan & Peter H. Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Papers (Old Series) 0619, Federal Reserve Bank of Cleveland.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: intra-day vs. inter-day models," MPRA Paper 80434, University Library of Munich, Germany.
- Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(4), pages 445-463, October.
- Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147, Edward Elgar Publishing.
- Len, Angel & Vaello-Sebasti, Antoni, 2009. "American GARCH employee stock option valuation," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1129-1143, June.
- Samuel E. Vazquez, 2014. "Option Pricing, Historical Volatility and Tail Risks," Papers 1402.1255, arXiv.org.
- Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
- James Chong, 2004. "Options trading profits from correlation forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1075-1085.
- Gurdip Bakshi & Charles Cao & Zhaodong (Ken) Zhong, 2021. "Assessing models of individual equity option prices," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 1-28, July.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.