Which Volatility Model for Option Valuation?
نویسندگان
چکیده
منابع مشابه
Which GARCH Model for Option Valuation?
Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature on GARCH models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns. This paper compares a range of GARCH models along a different dimension, using option p...
متن کاملOption Valuation under Stochastic Volatility
Reasonable efforts have been made to publish reliable data and information, but the author and the publisher cannot assume responsibility for the validity of all materials or the consequences of their use. All information, including formulas, documentation, computer algorithms, and computer code are provided with no warranty of any kind, express or implied. Neither the author nor the publisher ...
متن کاملRecombining Trinomial Tree for Real Option Valuation with Changing Volatility
This paper presents a recombining trinomial tree for valuing real options with changing volatility. The trinomial tree presented in this paper is constructed by simultaneously choosing such a parameterization that sets a judicious state space while having sensible transition probabilities between the nodes. The volatility changes are modeled with the changing transition probabilities while the ...
متن کاملOption Valuation with Long- run and Short-run Volatility Components
ASSOCIE A :. Institut de Finance Mathématique de Montréal (IFM 2). Laboratoires universitaires Bell Canada. Réseau de calcul et de modélisation mathématique [RCM 2 ]. Réseau de centres d'excellence MITACS (Les mathématiques des technologies de l'information et des systèmes complexes) Les cahiers de la série scientifique (CS) visent à rendre accessibles des résultats de recherche effectuée au CI...
متن کاملOption Valuation with Jumps in Returns and Volatility
We price options when there are jumps in the pricing kernel and correlated jumps in returns and volatilities. A limiting case of our GARCH process consists of a model where both asset returns and local volatility follow jump diffusion processes with correlated jump sizes. When the jump processes are shut down our model reduces to Duan’s (1995) GARCH option model; when the stochastic volatility ...
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: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.306843