An empirical investigation of the GARCH option pricing model: Hedging performance

2003 ◽  
Vol 23 (12) ◽  
pp. 1191-1207 ◽  
Author(s):  
Haynes H. M. Yung ◽  
Hua Zhang
Keyword(s):  
Option Pricing ◽  
Empirical Investigation ◽  
Pricing Model ◽  
Option Pricing Model ◽  
Hedging Performance

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model

An Option Pricing Model with Liquidity Adjustment of Underlying Asset

2015 ◽  
Author(s):  
Hui Lin ◽  
Yang Yang
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
Underlying Asset ◽  
Option Pricing Model

An Option Pricing Model with Probability Measure Ambiguity

2020 ◽  
Author(s):  
Yu Liu ◽  
Hao Wang ◽  
Lihong Zhang
Keyword(s):  
Probability Measure ◽  
Option Pricing ◽  
Pricing Model ◽  
Option Pricing Model

Option Pricing Model Estimates: Some Empirical Results

1982 ◽  
Vol 11 (1) ◽  
pp. 58 ◽  
Author(s):  
N. Bulent Gultekin ◽  
Richard J. Rogalski ◽  
Seha M. Tinic
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
Empirical Results ◽  
Option Pricing Model

scholarly journals An Option Pricing Model Using High Frequency Data

2016 ◽  
Vol 91 ◽  
pp. 175-179
Author(s):  
Saebom Jeon ◽  
Won Chang ◽  
Yousung Park
Keyword(s):  
Option Pricing ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Pricing Model ◽  
Option Pricing Model

A new simple square root option pricing model

2010 ◽  
Vol 30 (11) ◽  
pp. 1007-1025 ◽  
Author(s):  
António Câmara ◽  
Yaw-huei Wang
Keyword(s):  
Option Pricing ◽  
Square Root ◽  
Pricing Model ◽  
Option Pricing Model

Derivation of the Black-Scholes Option-Pricing Model

2009 ◽  
Author(s):  
Robert M. Conroy
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
Black Scholes ◽  
Option Pricing Model
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