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A GARCH Option Pricing Model with Filtered Historical Simulation

In: Simulating Security Returns: A Filtered Historical Simulation Approach

Citations

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Cited by:

  1. Ye Du & Shan Xue & Yanchu Liu, 2019. "Robust upper bounds for American put options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 3-14, January.
  2. Nagapetyan, Artur, 2019. "Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 45-61.
  3. Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
  4. Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013. "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2417-2445.
  5. 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.
  6. Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
  7. 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.
  8. Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
  9. Markus Leippold & Nikola Vasiljević, 2020. "Option-Implied Intrahorizon Value at Risk," Management Science, INFORMS, vol. 66(1), pages 397-414, January.
  10. 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.
  11. 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.
  12. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Post-Print halshs-00611706, HAL.
  13. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
  14. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 663-697, June.
  15. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
  16. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
  17. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
  18. Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
  19. Thisari K. Mahanama & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2023. "The Financial Market of Environmental Indices," Papers 2308.15661, arXiv.org.
  20. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  21. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
  22. Constantin ANGHELACHE & Madalina Gabriela ANGHEL, 2015. "Theoretical aspects concerning the use of the statistical-econometric instruments the analysis of the financial assets," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 63(9), pages 44-48, September.
  23. 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.
  24. Fornari, Fabio, 2010. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 722-743, September.
  25. 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.
  26. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012. "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," Post-Print hal-00511965, HAL.
  27. Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
  28. 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.
  29. Mateusz Buczynski & Marcin Chlebus, 2024. "GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 63(5), pages 1949-1979, May.
  30. Yury Lebedev & Arunava Banerjee, 2024. "Gaussian Recombining Split Tree," Papers 2405.16333, arXiv.org.
  31. Wenjun Zhang & Jin E. Zhang, 2020. "GARCH Option Pricing Models and the Variance Risk Premium," JRFM, MDPI, vol. 13(3), pages 1-21, March.
  32. Günter Franke & Ferdinand Graf, 2011. "Does Portfolio Optimization Pay?," Working Paper Series of the Department of Economics, University of Konstanz 2011-19, Department of Economics, University of Konstanz.
  33. 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).
  34. Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
  35. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
  36. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  37. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
  38. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
  39. Mahringer, Steffen & Prokopczuk, Marcel, 2015. "An empirical model comparison for valuing crack spread options," Energy Economics, Elsevier, vol. 51(C), pages 177-187.
  40. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
  41. Oh, Dong Hwan & Park, Yang-Ho, 2023. "GARCH option pricing with volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 146(C).
  42. Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Aug 2024.
  43. Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
  44. Günter Franke & Ferdinand Graf, 2010. "Portfolio Choice for HARA Investors: When Does 1/γ (not) Work?," Working Paper Series of the Department of Economics, University of Konstanz 2010-11, Department of Economics, University of Konstanz.
  45. Schneider, Judith C. & Schweizer, Nikolaus, 2015. "Robust measurement of (heavy-tailed) risks: Theory and implementation," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 183-203.
  46. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
  47. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
  48. Mateusz Buczyński & Marcin Chlebus, 2021. "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers 2021-08, Faculty of Economic Sciences, University of Warsaw.
  49. Leonidas S. Rompolis, 2017. "The effectiveness of unconventional monetary policy on risk aversion and uncertainty," Working Papers 231, Bank of Greece.
  50. Juho Kanniainen & Robert Pich'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
  51. Thilini Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2022. "A Natural Disasters Index," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 24(2), pages 263-284, April.
  52. So, Mike K.P. & Chung, Ray S.W., 2015. "Statistical inference for conditional quantiles in nonlinear time series models," Journal of Econometrics, Elsevier, vol. 189(2), pages 457-472.
  53. Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
  54. Dietmar P. J. Leisen, 2017. "The shape of small sample biases in pricing kernel estimations," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 943-958, June.
  55. Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
  56. Robert F. Engle & Emil N. Siriwardane, 2018. "Structural GARCH: The Volatility-Leverage Connection," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 449-492.
  57. Kyungwon Kim & Jae Wook Song, 2020. "Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions," Sustainability, MDPI, vol. 12(3), pages 1-31, February.
  58. Thorsten Lehnert & Yuehao Lin & Nicolas Martelin, 2013. "Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?," LSF Research Working Paper Series 13-11, Luxembourg School of Finance, University of Luxembourg.
  59. Sun, Pengfei & Zhou, Chen, 2014. "Diagnosing the distribution of GARCH innovations," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 287-303.
  60. Xie, Haibin & Wu, Xinyu, 2017. "A conditional autoregressive range model with gamma distribution for financial volatility modelling," Economic Modelling, Elsevier, vol. 64(C), pages 349-356.
  61. Liu, Qiang & Guo, Shuxin, 2014. "Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 77-89.
  62. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle in forward looking data," Review of Derivatives Research, Springer, vol. 21(3), pages 253-276, October.
  63. 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.
  64. Majumder, Debasish, 2023. "Subjectivity in conventional tail measures: An exploratory model with 'risks & biases’," Finance Research Letters, Elsevier, vol. 55(PB).
  65. Thilini V. Mahanama & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2024. "The Financial Market of Indices of Socioeconomic Well-Being," JRFM, MDPI, vol. 17(1), pages 1-19, January.
  66. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  67. 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.
  68. 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).
  69. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
  70. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
  71. Jiao, Yuhan & Liu, Qiang & Guo, Shuxin, 2021. "Pricing kernel monotonicity and term structure: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 123(C).
  72. Paolella, Marc S. & Polak, Paweł, 2015. "COMFORT: A common market factor non-Gaussian returns model," Journal of Econometrics, Elsevier, vol. 187(2), pages 593-605.
  73. Ahmed, Mohamed S. & Alhadab, Mohammad, 2020. "Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 355-371.
  74. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012. "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," PSE-Ecole d'économie de Paris (Postprint) hal-00511965, HAL.
  75. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  76. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
  77. Díaz-Hernández, Adán & Constantinou, Nick, 2019. "A multiple regime extension to the Heston–Nandi GARCH(1,1) model," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 162-180.
  78. Günter Franke & Thomas Weber, 2011. "Tranching and Pricing in CDO-Transactions," Working Paper Series of the Department of Economics, University of Konstanz 2011-21, Department of Economics, University of Konstanz.
  79. Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs, 2014. "Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels," CREATES Research Papers 2015-55, Department of Economics and Business Economics, Aarhus University.
  80. Fleming, Euan & Villano, Renato & Williamson, Brendon, 2013. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Australian Water Market," Papers 234295, University of Melbourne, Melbourne School of Land and Environment.
  81. 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.
  82. Giovanni Barone‐Adesi & Chiara Legnazzi & Carlo Sala, 2019. "Option‐implied risk measures: An empirical examination on the S&P 500 index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1409-1428, October.
  83. Qiang Liu & Yuhan Jiao & Shuxin Guo, 2022. "GARCH pricing and hedging of VIX options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1039-1066, June.
  84. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
  85. Beare, Brendan K., 2011. "Measure preserving derivatives and the pricing kernel puzzle," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 689-697.
  86. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Effective energy commodity risk management: Econometric modeling of price volatility," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 234-250.
  87. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
  88. Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  89. Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
  90. Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
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  93. Thorsten Lehnert, 2019. "Big moves of mutual funds," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(1), pages 1-27, March.
  94. Papantonis, Ioannis, 2016. "Volatility risk premium implications of GARCH option pricing models," Economic Modelling, Elsevier, vol. 58(C), pages 104-115.
  95. Francesca Lilla, 2021. "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers) 1336, Bank of Italy, Economic Research and International Relations Area.
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  99. Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option Pricing Revisited: The Role of Price Volatility and Dynamics," 2024 Annual Meeting, July 28-30, New Orleans, LA 343544, Agricultural and Applied Economics Association.
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