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Exploring forecast error and the informational content of implied volatility in the Taiwan market

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Persistent link: https://www.econbiz.de/10009665556

On the relationship of implied, realized and historical volatility : evidence from NSE equity index options

Padhi, Puja; Shaikh, Imlak - In: Journal of business economics and management 15 (2014) 5, pp. 915-934

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Estimating and using GARCH models with VIX data for option valuation

Kanniainen, Juho; Lin, Binghuan; Yang, Hanxue - In: Journal of banking & finance 43 (2014), pp. 200-211

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Long memory and volatility behaviour in Paris option market

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American option pricing using simulation with an application to the GARCH model

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American Option Pricing Using Simulation : An Introduction with an Application to the GARCH Option Pricing Model

Stentoft, Lars - 2019

It contains an introduction to how simulation methods can be used to price American options and a discussion of various existing methods. An application using one of these methods, the regression based method, to the GARCH option pricing model is also provided

Persistent link: https://www.econbiz.de/10012905711