ROMBOUTS, Jeroen V.K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2009
stochastic volatility models improve on the option pricing error when compared to the
Black-Scholes-Merton model, mispricings … remain. This paper uses mixed normal
heteroskedasticity models to price options. Our model allows for significant negative … pricing, finite mixture models, out-ofsample prediction,
GARCH models.
JEL Classification: C11, C15, C22, G13 …