A Comparison of GARCH Option Pricing Models
Arvid Voormanns
Broschiertes Buch

A Comparison of GARCH Option Pricing Models

An empirical comparison of GARCH option pricing models using Bayesian inference and implied calibration

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The relative performance of option pricing models estimated directly from market data and indirectly from option data has not been subject to many academic studies. In this book the pricing performance of these two estimation methods is tested empirically using options written on the S&P500 Index. A Bayesian approach is taken for the models estimated directly from market data and a regime switching feature is introduced to better capture the market dynamics. This combination results in a new Bayesian pricing algorithm for the regime switching GARCH option pricing model. The resulting model is ...