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Price discovery in the cryptocurrency option market: A univariate GARCH approach

Venter, Pierre J.; Maré, Eben; Pindza, Edson - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-9

In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models … effects into account. Furthermore, the accuracy of the GARCH option pricing model applied to Bitcoin is tested. Empirical … consistent with findings in the literature. In addition, the GARCH option pricing model provides realistic price discovery within …

Persistent link: https://www.econbiz.de/10014001368

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10010310007

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Option Pricing using Realized Volatility

Stentoft, Lars - School of Economics and Management, University of Aarhus - 2008

In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...

Persistent link: https://www.econbiz.de/10005440036

Option pricing under truncated Gram–Charlier expansion

Lin, Shin-Hung; Huang, Hung-Hsi; Li, Sheng-Han - In: The North American Journal of Economics and Finance 32 (2015) C, pp. 77-97

, including Black–Scholes (constant variance model), Hull–White (a mean-reverting variance model), GARCH (a time … GARCH models. This result consists with the fact that stock return distributions are usually asymmetric and nonmesokurtic as …

Persistent link: https://www.econbiz.de/10011264491

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1999

Persistent link: https://www.econbiz.de/10010956419

Collateralised option pricing in a South African context: A Univariate GARCH approach

Venter, Pierre J.; Levendis, Alexis; Maré, Eben - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-12

In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of … collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are … surfaces. Finally, the effect of asymmetry is shown by the difference between the symmetric and asymmetric GARCH option price …

Persistent link: https://www.econbiz.de/10015074236

Bayesian option pricing using asymmetric GARCH

BAUWENS, LUC; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1997

metric. The methods are illustrated using an asymmetric GARCH model with a data set on a stock index in Brussels. The …

Persistent link: https://www.econbiz.de/10005008451

Which Volatility Model for Option Valuation?

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns....

Persistent link: https://www.econbiz.de/10005100917

Discrete Time Hedging of OTC Options in a GARCH Environment: A Simulation Experiment

Hagerud, Gustaf E. - Economics Institute for Research (SIR), … - 1997

heteroskedastic environment. This is done by a simulation procedure where asset returns are generated from a GARCH (1,1)-t model. In … shown that the variance of the returns on the hedged position is considerably higher in a GARCH (1,1) environment than in a …

Persistent link: https://www.econbiz.de/10005649363