Dynamic Option Pricing Model Based on the Realized-GARCH-NIG Approach
نویسندگان
چکیده
منابع مشابه
Dynamic Option Pricing Model Based on the Realized-GARCH-NIG Approach
In this paper, we take the advantage of high frequency data to develop option pricing model and select the Realized GARCH model to describe the volatility of assets, use NIG distribution to describe the distribution of underlying assets, and also build the Realized-GARCH-NIG model to price the option. Finally, we obtain the dynamic option pricing model based on the Realized-GARCH-NIG approach. ...
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ژورنال
عنوان ژورنال: Open Journal of Social Sciences
سال: 2016
ISSN: 2327-5952,2327-5960
DOI: 10.4236/jss.2016.43011