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Applied Economics Letters Volume 8, 2001 - Issue 5
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Original Articles

GARCH option pricing with implied volatility

N'zue F. Fofana
&
B. Wade Brorsen
Pages 335-340 | Published online: 06 Oct 2010

Citations (8)

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Read on this site (4)

Shih-Feng Huang & Meihui Guo. (2014) Model risk of the implied GARCH-normal model. Quantitative Finance 14:12, pages 2215-2224.
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Yuichi Fukuta & Wenjie Ma. (2013) Implied volatility smiles in the Nikkei 225 options. Applied Financial Economics 23:9, pages 789-804.
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Thorsten M. Egelkraut & Philip Garcia. (2008) Predicting S&P 500 volatility for intermediate time horizons using implied forward volatility. Applied Economics Letters 15:1, pages 31-34.
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K. Maris, K. Nikolopoulos, K. Giannelos & V. Assimakopoulos. (2007) Options trading driven by volatility directional accuracy. Applied Economics 39:2, pages 253-260.
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Articles from other publishers (4)

Siyan Ai. (2021) An Empirical Analysis of Stochastic Volatility Model Based on SSE 50 ETF Option. Journal of Physics: Conference Series 1852:4, pages 042026.
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Aparna Prasad Bhat. (2019) An empirical exploration of the performance of alternative option pricing models. Journal of Indian Business Research 11:1, pages 23-49.
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Hassan Tanha & Michael Dempsey. (2016) The Information Content of ASX SPI 200 Implied Volatility. Review of Pacific Basin Financial Markets and Policies 19:01, pages 1650002.
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Evdokia Xekalaki & Stavros Degiannakis. 2010. ARCH Models for Financial Applications. ARCH Models for Financial Applications 479 520 .

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