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.

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Year of publication:	2011-05-28
Authors:	Dziubinski, Matt P.
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Stochastic volatility \| volatility components \| GARCH \| option pricing

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	1 pages long
Classification:	G12 - Asset Pricing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008854105