منابع مشابه
Pricing bivariate option under GARCH processes with time-varying copula
This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model determined by dynamic depe...
متن کاملOption Pricing in a GARCH Framework
There is a compelling need to accurately and efficiently compute option values. Existing literature shows that models based on constant stock volatilities have been widely used in option valuation. However, stock volatilities change constantly in real life situations. The introduction of the Auto Regressive Conditional Heteroskedasticity (ARCH) model and subsequently, the Generalized Auto Regre...
متن کاملGARCH Option Pricing: a Semiparametric Approach
Option pricing based on GARCH models is typically obtained under the assumption that the random innovations are standard normal (normal GARCH models). However, these models fail to capture the skewness and the leptokurtosis in financial data. We propose a new method to compute option prices using a non-parametric density estimator for the distribution of the driving noise. We investigate the pr...
متن کاملThe Complexity of GARCH Option Pricing Models
When using trees to price options, the standard practice is to increase the number of partitions per day, n, to improve accuracy. But increasing n incurs computational overhead. In fact, raising n makes the popular Ritchken-Trevor tree under non-linear GARCH (NGARCH) grow exponentially when n exceeds a typically small threshold. Worse, when this happens, the tree cannot grow beyond a certain ma...
متن کاملOn Accurate Trinomial GARCH Option Pricing Algorithms
The GARCH model has been successful in describing the volatility dynamics of asset return series. However, tree-based GARCH option pricing algorithms suffer from exponential running time, inaccuracy, or other problems. Lyuu and Wu proved that the trinomial-tree option pricing algorithms of Ritchken and Trevor (1999) and Cakici and Topyan (2000) explode exponentially when the number of partition...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.459641