Conditional Volatility and the GARCH Option Pricing Model with Non-Normal Innovations

Cited 8 time in webofscience Cited 0 time in scopus
  • Hit : 1219
  • Download : 204
DC FieldValueLanguage
dc.contributor.authorByun, Suk-Joonko
dc.contributor.authorMin, Byung-Sunko
dc.date.accessioned2013-03-13T03:45:30Z-
dc.date.available2013-03-13T03:45:30Z-
dc.date.created2012-12-14-
dc.date.created2012-12-14-
dc.date.issued2013-01-
dc.identifier.citationJOURNAL OF FUTURES MARKETS, v.33, no.1, pp.1 - 28-
dc.identifier.issn0270-7314-
dc.identifier.urihttp://hdl.handle.net/10203/104395-
dc.description.abstractOn the basis of the theory of a wedge between the physical and risk-neutral conditional volatilities in Christoffersen, P., Elkamhi, R., Feunou, B., & Jacobs, K. (2010), we develop a modification of the GARCH option pricing model with the filtered historical simulation proposed in Barone-Adesi, G., Engle, R. F., & Mancini, L. (2008). The one-day-ahead conditional volatilities under physical and risk-neutral measures are the same in the previous model, but should have been allowed to be different. Using extensive data on S&P 500 index options, our approach, which employs one-day-ahead risk-neutral conditional volatility estimated from the cross-section of the option prices (in contrast to the existing GARCH option pricing models), maintains theoretical consistency under conditional non-normality, and improves the empirical performances. Remarkably, the risk-neutral volatility dynamics are stable over time in this model. In addition, the comparison between the VIX index and the risk-neutral integrated volatility economically validates our approach. (c) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 33:128, 2013-
dc.languageEnglish-
dc.publisherWILEY-BLACKWELL-
dc.subjectRISK-AVERSION-
dc.subjectVALUATION-
dc.subjectBEHAVIOR-
dc.subjectPRICES-
dc.titleConditional Volatility and the GARCH Option Pricing Model with Non-Normal Innovations-
dc.typeArticle-
dc.identifier.wosid000310426500001-
dc.identifier.scopusid2-s2.0-84867992885-
dc.type.rimsART-
dc.citation.volume33-
dc.citation.issue1-
dc.citation.beginningpage1-
dc.citation.endingpage28-
dc.citation.publicationnameJOURNAL OF FUTURES MARKETS-
dc.identifier.doi10.1002/fut.20551-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorByun, Suk-Joon-
dc.type.journalArticleArticle-
dc.subject.keywordPlusRISK-AVERSION-
dc.subject.keywordPlusVALUATION-
dc.subject.keywordPlusBEHAVIOR-
dc.subject.keywordPlusPRICES-
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 8 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0