169
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Calibrated GARCH models and exotic options

&
Pages 403-414 | Published online: 25 Oct 2012

References

  • Bakshi , G , Cao , C and Chen , Z . 1997 . Empirical performance of alternative option pricing models . The Journal of Finance , 52 : 2003 – 49 .
  • Bakshi , G , Cao , C and Chen , Z . 2010 . “ Option pricing and hedging performance under stochastic volatility and stochastic interest rates ” . In Handbook of Quantitative Finance and Risk Management, Part III , Edited by: Lee , CHC-F . 547 – 74 . New York : Springer .
  • Bakshi , G and Kapadia , N . 2003a . Delta-hedged gains and the negative market volatility risk premium . Review of Financial Studies , 16 : 527 – 66 .
  • Bakshi , G and Kapadia , N . 2003b . Volatility risk premium embedded in individual equity options: some new insights . Journal of Derivatives , Fall : 45 – 54 .
  • Bams , D , Lehnert , T and Wolff , CCP . 2009 . Loss functions in option valuation: a framework for selection . Management Science , 55 : 853 – 62 .
  • Barone-Adesi , G , Engle , RF and Mancini , L . 2008 . A GARCH Option Pricing Model with Filtered Historical Simulation . Review of Financial Studies , 21 : 1223 – 58 .
  • Bollerslev , T . 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
  • Chernov , M and Ghysels , E . 2000 . A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation . Journal of Financial Economics , 56 : 407 – 58 .
  • Christoffersen , P , Dorion , C , Jacobs , K and Wang , K . 2010a . Volatility components: affine restrictions and non-normal innovations . Journal of Business and Economic Statistics , 4 : 483 – 502 .
  • Christoffersen , P , Heston , S and Jacobs , K . 2006 . Option valuation with conditional skewness . Journal of Econometrics , 131 : 253 – 84 .
  • Christoffersen , P and Jacobs , K . 2004a . The importance of the loss function in option valuation . Journal of Financial Economics , 56 : 407 – 58 .
  • Christoffersen , P and Jacobs , K . 2004b . Which GARCH model for option valuation? . Management Science , 50 : 1204 – 21 .
  • Christoffersen , P , Jacobs , K and Mimouni , K . 2010b . Models for S&P 500 dynamics: evidence from realized volatility, daily returns, and option prices . Review of Financial Studies , 23 : 3141 – 89 .
  • Christoffersen , P , Jacobs , K , Ornthanalai , C and Wang , Y . 2008 . Option valuation with long-run and short-run volatility components . Journal of Financial Economics , 90 : 272 – 97 .
  • Cont , R and Tankov , P . 2004 . Non-parametric calibration of jump-diffusion option pricing models . Journal of Computational Finance , 7 : 1 – 50 .
  • Detlefsen , K and Härdle , WK . 2007 . Calibration risk for exotic options . Journal of Derivatives , 14 : 47 – 63 .
  • Duan , JC . 1995 . The GARCH Option pricing model . Mathematical Finance , 5 : 13 – 32 .
  • Duan , JC and Simonato , J-G . 1998 . Empirical Martingale simulation for asset prices . Management Science , 44 : 1218 – 33 .
  • Engle , RF . 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Hentschel , L . 1995 . All in the family nesting symmetric and asymmetric GARCH models . Journal of Financial Economics , 39 : 71 – 104 .
  • Heston , SL and Nandi , S(HN) . 2000 . A Closed-Form GARCH Option Valuation Model . Review of Financial Studies , 13 : 585 – 625 .
  • Hsieh , K and Ritchken , P . 2005 . An empirical comparison of GARCH option pricing models . Review of Derivatives Research , 8 : 129 – 50 .
  • Huang , H-H , Wang , C-P and Chen , S-H . 2011 . Pricing Taiwan option market with GARCH and stochastic volatility . Applied Financial Economics , 21 : 747 – 54 .
  • Jiang , G and van der Sluis , P . 1999 . Index option pricing models with stochastic volatility and stochastic interest rates . European Finance Review , 3 : 273 – 310 .
  • Schoutens , W , Simons , E and Tistaert , J . 2003 . A perfect calibration: now what? . Wilmott Magazine , March : 973 – 103 .
  • Su , Y-C , Chen , M-D and Huang , H-C . 2010 . An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility . Applied Financial Economics , 20 : 899 – 910 .
  • Walsh , DM . 1999 . Some exotic options under symmetric and asymmetric conditional volatility of returns . Journal of Multinational Financial Management , 9 : 403 – 17 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.