Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures
Christophe Chorro and Rahantamialisoa H. Fanirisoa Zazaravaka
| Year of publication: |
2022
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|---|---|
| Authors: | Chorro, Christophe ; Rahantamialisoa, H. Fanirisoa Zazaravaka |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 5, p. 902-941
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| Subject: | GARCH option pricing models | GARCH implied VIX | estimation strategies | nonmono-tonic stochastic discount factors | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Diskontierung | Discounting |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa042 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013460032