Alternative Approaches to the Modelling of Volatility in European Option Valuation

被引：0
|
作者：
Yin, Yun [1 ]
机构：
[1] Univ E Anglia, Sch Econ, Norwich NR4 7TJ, Norfolk, England
来源：
PROCEEDINGS OF THE 2013 INTERNATIONAL CONFERENCE ON THE MODERN DEVELOPMENT OF HUMANITIES AND SOCIAL SCIENCE | 2013年
关键词：
euyropean option; random walk; arch; garch; tarch; monte carlo simulation; CONDITIONAL HETEROSKEDASTICITY; VARIANCE;
D O I：
暂无
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
This chapter uses four different models to value the option price: Random Walk (RW), ARCH, GARCH and TARCH. Each model is applied within a Monte-Carlo framework. I attempt to identify the best model in terms of their ability to predict the market price of the option
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收藏
页码：66 / 70
页数：5
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