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Original Articles

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

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Pages 419-423 | Published online: 17 Oct 2008

References

  • Daigler , R. T. 1994 . Advanced Option Trading , Chicago, , USA : Probus Publishing Company .
  • Degiannakis , S. and Xekalaki , E. 2005 . Predictability and model selection in the context of ARCH models . Journal of Applied Stochastic Models in Business and Industry , 21 : 55 – 82 .
  • Degiannakis , S. and Xekalaki , E. 2007 . Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH Models . Applied Financial Economics , 17 : 149 – 71 .
  • Duan , J. 1995 . The GARCH option pricing model . Mathematical Finance , 5 : 31 – 2 .
  • Heston , S. L. and Nandi , S. 2000 . A closed-form GARCH option valuation model . The Review of Financial Studies , 13 : 585 – 625 .
  • Xekalaki , E. and Degiannakis , S. 2005 . Evaluating volatility forecasts in option pricing in the context of a simulated options market . Computational Statistics and Data Analysis , 49 : 611 – 29 .

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