Option valuation with the simplified component GARCH model
We introduce the Simplified Component GARCH (SC-GARCH) option pricing model, show and discuss sufficient conditions for non-negativity of the conditional variance, apply it to low-frequency and high-frequency financial data, and consider the option valuation, comparing the model performance with similar models from the literature. Two volatility components in our model allow us to model time structure of volatility.
|Date of creation:||28 May 2011|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econ.au.dk/afn/|
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