Risk-neutral option pricing under GARCH intensity model
The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volatility clustering, leverage effect and conditional asymmetry. The GARCH intensity option pricing model has flexibility in changing the volatility according to the probability measure change.
Code (0)
등록된 구현이 없습니다.
Tasks
ClusteringmodelSimilar Papers 제목 키워드 기반
A First Option Calibration of the GARCH Diffusion Model by a PDE Method
Time-series calibrations often suggest that the GARCH diffusion model could also be a suitable candidate for option (risk-neutral) calibration. But unlike the popular Heston model, it lacks a fast, semi-analytic solution…
Time SeriesTime Series AnalysisOption Pricing with State-dependent Pricing Kernel
We introduce a new volatility model for option pricing that combines Markov switching with the Realized GARCH framework. This leads to a novel pricing kernel with a state-dependent variance risk premium and a pricing for…
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. First, both the underlying and the option issue…
Option Pricing with Time-Varying Volatility Risk Aversion
We introduce a pricing kernel with time-varying volatility risk aversion to explain observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi GARCH model, this framework yields a tr…
Option pricing using a skew random walk pricing tree
Motivated by the Corns-Satchell, continuous time, option pricing model, we develop a binary tree pricing model with underlying asset price dynamics following It\^o-Mckean skew Brownian motion. While the Corns-Satchell ma…