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Citations for "A Closed-Form GARCH Option Valuation Model"

by Heston, Steven L & Nandi, Saikat

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  1. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
  2. Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Working Papers 2014-053, Department of Research, Ipag Business School.
  3. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," MPRA Paper 63218, University Library of Munich, Germany.
  4. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
  5. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
  6. Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013. "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer, vol. 20(3), pages 243-259, September.
  7. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge.
  8. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
  9. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
  10. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
  11. Peter C. B. Phillips & Jun Yu, 2009. "Simulation-Based Estimation of Contingent-Claims Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
  12. Contreras, Javier & Rodríguez, Yeny E., 2014. "GARCH-based put option valuation to maximize benefit of wind investors," Applied Energy, Elsevier, vol. 136(C), pages 259-268.
  13. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
  14. Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
  15. Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
  16. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  17. Maciej Klimek & Marcin Pitera, 2014. "The least squares method for option pricing revisited," Papers 1404.7438, arXiv.org, revised May 2014.
  18. León, Angel & Serna, Gregorio & Rubio Irigoyen, Gonzalo, 2002. "Autorregresive conditional volatility, skewness and kurtosis," DFAEII Working Papers 2002-06, University of the Basque Country - Department of Foundations of Economic Analysis II.
  19. Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, EconWPA.
  20. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
  21. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2005. "Loss Functions in Option Valuation: A Framework for Model Selection," CEPR Discussion Papers 4960, C.E.P.R. Discussion Papers.
  22. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
  23. Gael M. Martin & Andrew Reidy & Jill Wright, 2006. "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers 10/06, Monash University, Department of Econometrics and Business Statistics.
  24. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
  25. Geon Choe & Kyungsub Lee, 2014. "Conditional correlation in asset return and GARCH intensity model," AStA Advances in Statistical Analysis, Springer, vol. 98(3), pages 197-224, July.
  26. Francesco Audrino & Dominik Colangelo, 2009. "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009 2009-24, Department of Economics, University of St. Gallen.
  27. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  28. Guidolin, Massimo & Timmermann, Allan, 2003. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 717-769, March.
  29. Suh, Sangwon, 2012. "Measuring systemic risk: A factor-augmented correlated default approach," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 341-358.
  30. repec:spr:compst:v:69:y:2009:i:3:p:411-438 is not listed on IDEAS
  31. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.
  32. Jarrow, Robert & Kwok, Simon, . "Specification Tests of Calibrated Option Pricing Models," Working Papers 2013-08, University of Sydney, School of Economics.
  33. Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  34. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
  35. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  36. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
  37. Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
  38. Tseng, Chih-Hsiung & Cheng, Sheng-Tzong & Wang, Yi-Hsien & Peng, Jin-Tang, 2008. "Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3192-3200.
  39. Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
  40. Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
  41. Jobst, Andreas A., 2014. "Measuring systemic risk-adjusted liquidity (SRL)—A model approach," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 270-287.
  42. Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
  43. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
  44. Ahmet Göncü & Mehmet Oguz Karahan & Tolga Umut Kuzubas, 2014. "Implied Return Distributions of Option Pricing Models: A comparative goodness-of-fit analysis," Working Papers 2014/07, Bogazici University, Department of Economics.
  45. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  46. Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
  47. Francesco Audrino & Dominik Colagelo, 2007. "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007 2007-42, Department of Economics, University of St. Gallen.
  48. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
  49. Siddiqi, Hammad, 2013. "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper 50759, University Library of Munich, Germany.
  50. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250058-1-1.
  51. Thorsten Lehnert & Gildas Blanchard & Dennis Bams, 2014. "Evaluating Option Pricing Model Performance Using Model Uncertainty," LSF Research Working Paper Series 14-06, Luxembourg School of Finance, University of Luxembourg.
  52. Alizadeh, Amir H. & Gabrielsen, Alexandros, 2013. "Dynamics of credit spread moments of European corporate bond indexes," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3125-3144.
  53. Siddiqi, Hammad, 2013. "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper 48862, University Library of Munich, Germany.
  54. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  55. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO.
  56. Lei Shi, 2010. "Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9.
  57. Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
  58. Christian Menn & Svetlozar Rachev, 2009. "Smoothly truncated stable distributions, GARCH-models, and option pricing," Mathematical Methods of Operations Research, Springer, vol. 69(3), pages 411-438, July.
  59. Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei, 2013. "A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3204-3217.
  60. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
  61. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
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