Add to ORKGThis study presents an empirical analysis on the impact of stochastic volatility on options pricing and its effect on systematic option portfolio management. Through the modelling of univariate GARCH (Generalized Autoregressive Conditional Heteroskedasticity) processes and for the period between 1990 and 2017 for the S&P 500, Russell 2000 and FTSE 100, it is possible to observe deviations from the formula presented by Black and Scholes (1973) and Merton (1973). In this sense, we try to understand how stochastic volatility affects deviations from that pricing identity and the effects on speculation portfolio management policies related to this type of derivatives contracts
This paper examines alternative methods for pricing options when the underlying security volatilit...
This paper seeks to measure the ability of volatility innovations to improve options-pricing within ...
While stochastic volatility models improve on the option pricing error when compared to the Black-Sc...
This paper examines the out-of-sample performance of two common extensions of the Black-Scholes fram...
This paper examines the out-of-sample performance of two common exten-sions of the Black-Scholes fra...
While the stochastic volatility (SV) generalization has been shown to improve the explanatory power ...
The development of an e¤ective mechanism for pricing options has inspired a large volume of academic...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
In this paper we examine and compare the performance of a variety of continuous- time volatility mod...
The most important advantage of the option transactions resides in the fact that it offers, through ...
Financial Markets is an interesting wide range area of research in Financial Engineering. In this th...
WP 2003-05 February 2003Few proposed types of derivative securities have attracted as much attention...
This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applie...
This thesis studies a mathematical problem that arises in modeling the prices of option contracts in...
AbstractThe famous Black-Scholes option pricing model is a mathematical description of financial mar...
This paper examines alternative methods for pricing options when the underlying security volatilit...
This paper seeks to measure the ability of volatility innovations to improve options-pricing within ...
While stochastic volatility models improve on the option pricing error when compared to the Black-Sc...
This paper examines the out-of-sample performance of two common extensions of the Black-Scholes fram...
This paper examines the out-of-sample performance of two common exten-sions of the Black-Scholes fra...
While the stochastic volatility (SV) generalization has been shown to improve the explanatory power ...
The development of an e¤ective mechanism for pricing options has inspired a large volume of academic...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
In this paper we examine and compare the performance of a variety of continuous- time volatility mod...
The most important advantage of the option transactions resides in the fact that it offers, through ...
Financial Markets is an interesting wide range area of research in Financial Engineering. In this th...
WP 2003-05 February 2003Few proposed types of derivative securities have attracted as much attention...
This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applie...
This thesis studies a mathematical problem that arises in modeling the prices of option contracts in...
AbstractThe famous Black-Scholes option pricing model is a mathematical description of financial mar...
This paper examines alternative methods for pricing options when the underlying security volatilit...
This paper seeks to measure the ability of volatility innovations to improve options-pricing within ...
While stochastic volatility models improve on the option pricing error when compared to the Black-Sc...