G2TT
来源类型Discussion Paper
规范类型论文
Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach
Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard
发表日期2017-09-13
出版年2017
语种英语
摘要

Huang, Zhuo, Tianyi Wang and Peter Reinhard Hansen. 2017. “Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach.” Journal of Futures Markets. 37:4: 328-358.
Download reference Doi:10.1002/fut.21821

We derive a pricing formula for European options for the Realized GARCH framework based on an analytical approximation using an Edgeworth expansion for the density of cumulative return. Existing approximations in this context are based on a Gram–Charlier expansion while the proper Edgeworth expansion is more accurate. In relation to existing discrete-time option pricing models with realized volatility, our model is log-linear, non-affine, with a flexible leverage effect. We conduct an extensive empirical analysis on S&P500 index options and the results show that our computationally fast formula outperforms competing methods in terms of pricing errors, both in-sample and out-of-sample.

URLhttps://efdinitiative.org/publications/option-pricing-realized-garch-model-analytical-approximation-approach
来源智库Environment for Development Initiative (Sweden)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/138418
推荐引用方式
GB/T 7714
Huang, Zhuo,Wang, Tianyi,Hansen, Peter Reinhard. Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach. 2017.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Huang, Zhuo]的文章
[Wang, Tianyi]的文章
[Hansen, Peter Reinhard]的文章
百度学术
百度学术中相似的文章
[Huang, Zhuo]的文章
[Wang, Tianyi]的文章
[Hansen, Peter Reinhard]的文章
必应学术
必应学术中相似的文章
[Huang, Zhuo]的文章
[Wang, Tianyi]的文章
[Hansen, Peter Reinhard]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。