Search Results - subject:"GARCH option pricing models"

Modeling S&P500 returns with GARCH models

Alfaro, Rodrigo; Inzunza, Alejandra - In: Latin American journal of central banking : LAJCB 4 (2023) 3, pp. 1-11

This paper provides several estimates of the GARCH models' parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the long-term volatility. By providing an...

Persistent link: https://www.econbiz.de/10014382969

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of Risk and Financial Management 13 (2020) 3, pp. 1-21

premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX …In this paper, we modify Duan's (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing … models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is …

Persistent link: https://www.econbiz.de/10012611270

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX …In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing … models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is …

Persistent link: https://www.econbiz.de/10012174118