GARCH option pricing with volatility derivatives

Dong Hwan Oh, Yang-Ho Park

Year of publication:	2023
Authors:	Oh, Dong Hwan ; Park, Yang-Ho
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 146.2023, p. 1-17
Subject:	GARCH \| Option valuation \| VIX Derivatives \| Volatility persistence \| Volatilität \| Volatility \| Derivat \| Derivative \| ARCH-Modell \| ARCH model \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading

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