A Simple Pricing Model for Plain-Vanilla Dividend Futures Options

2019 ◽  
Author(s):  
Ghislain Vong
Keyword(s):  
Pricing Model ◽  
Futures Options

scholarly journals Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing

2021 ◽  
Vol 14 (6) ◽  
pp. 261
Author(s):  
Pierre J. Venter ◽  
Eben Maré
Keyword(s):  
Option Pricing ◽  
Multivariate Garch ◽  
Garch Models ◽  
Symmetric Model ◽  
Option Prices ◽  
Pricing Model ◽  
Market Prices ◽  
Futures Options ◽  
Option Pricing Model ◽  
Multivariate Garch Models

In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a symmetric model is a better fit when applied to Bitcoin futures returns, and also produces more accurate option prices compared to market prices for two out of three expiry dates considered.

PRICING MODEL FOR COMPETING ONLINE AND RETAIL CHANNEL WITH ONLINE BUYING RISK

2013 ◽  
Author(s):  
Varanya Varanyuwatana ◽  
◽  
Chutikarn Anunyavanit ◽  
Manorat Pinthong ◽  
Puthaporn Jarupash ◽  
...  
Keyword(s):  
Pricing Model ◽  
Retail Channel ◽  
Online Buying

Agricultural Insurance Pricing Model

2014 ◽  
Vol 9 (2) ◽  
pp. 1-12
Author(s):  
Chao-Hui Yeh ◽  
◽  
Ti-Ling Wang ◽  
Keyword(s):  
Pricing Model ◽  
Agricultural Insurance ◽  
Insurance Pricing

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
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