" An empirical investigation of the GARCH option pricing model: Hedging performance ," Journal of Futures Markets , John Wiley & Sons, Ltd., vol. 23(12), pages 1191-1207, December.Yung, H. and Zhang, H. (2003). “An Empirical Investigation of the GARCH Option Pricing Model: Hedging ...
the GARCH option pricing model is capable of reflecting the changes in the conditional volatility of the underlying asset in a parsimonious manner. Numerical analyses suggest that the GARCH model may be able to explain some well-documented systematic biases associated with the Black-Scholes model.Jin...
The GARCH option pricing model: A modification of lattice approach. Review of Quantitative Finance and Accounting, 26, 55-66.CHUN-CHOU;WU.the GARCH Option Pricing Model:A Modification of Lattice Approach.0.55-56Chun-Chou Wu.  The GARCH Option Pricing Model: A Modification of Lattice ...
THE GARCH OPTION PRICING MODEL 热度: GARCH-GJR-GARCH和EGARCH模型预测能力实证研究 热度: Pricing Asian Options in A 162; ne Garch models 热度: 相关推荐 ApproximatingtheGJR-GARCHandEGARCHOptionPricing ModelsAnalytically Jin-ChuanDuan,Genevi`eveGauthier,CarolineSasseville,Jean-GuySimonato ∗ (...
The model is called NIG-GARCH and will include the GARCH option pricing model of Duan (1995) as a limiting case. In addition, we also consider the "leverage effects" in the model, called NIG-NGARCH, which can explain the asymmetric effect of asset return volatility, observed often in ...
This paper analyzes GARCH option pricing models using a Bayesian method. The GJR model proposed by Glosten, Jagannathan, and Runkle (1993) and the EGARCH m... H Mitsui,T Watanabe - 《Journal of the Japan Statistical Society》 被引量: 40发表: 2003年 Bayesian estimation of GARCH model by ...
results(West and Cho, 1995).Jorion(1995)found that volatility forecasts for several major currencies from the GARCH model were outperformed by implied volatilities generated from the Black-Scholes option-pricing model.These studies typically used the squared daily return as the variable to be fore-ca...
Credit default risk in Islamic and conventional banks: Evidence from a GARCH option pricing model 2022, Economic Analysis and Policy Citation Excerpt : We use a random-effect panel regression estimation for Model (1) through Model (10) because the Islamic dummy is a time-invariant variable that...
The EGARCH-GED model is the most suitable of the employed GARCH-type models. The back-testing results support the idea that the approach used in this study is appropriate for improving commercial banks’ daily risk management. This paper applies the GARCH-EVT method for interest rate measurement...
1) Analysis of the Price of the Option s Value 期权定价分析 例句>> 2) option pricing 期权定价 1. Study onoption pricingmathematical model; 期权定价数学模型的研究 2. GARCH diffusionoption pricingmodel with transaction costs; 有交易成本的GARCH-扩散期权定价模型 ...