scholarly journals A Closed-Form GARCH Option Pricing Model

1998 ◽  
Author(s):  
Steve L. Heston ◽  
Saikat Nandi
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Pricing Model ◽  
Option Pricing Model

An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility

2010 ◽  
Vol 20 (11) ◽  
pp. 899-910 ◽  
Author(s):  
YongChern Su ◽  
MingDa Chen ◽  
HanChing Huang
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Pricing Model ◽  
Option Pricing Model

scholarly journals Closed-form Solutions of the Time-fractional Standard Black-Scholes Model for Option Pricing using He-separation of Variable Approach

2020 ◽  
Vol 16 ◽  
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Transformation Method ◽  
Pricing Model ◽  
Closed Form Solutions ◽  
Variable Approach ◽  
Black Scholes ◽  
Option Pricing Model ◽  
And Mathematics ◽  
Separation Of Variable

The Black-Scholes option pricing model in classical form remains a benchmark model in Financial Engineering and Mathematics concerning option valuation. Though, it has received a series of modifications as regards its initial constancy assumptions. Most of the resulting modifications are nonlinear or time-fractional, whose exact or analytical solutions are difficult to obtain. This paper, therefore, presents exact (closed-form) solutions to the time-fractional classical Black-Scholes option pricing model by means of the He-Separation of Variable Transformation Method (HSVTM). The HSVTM combines the features of the He’s polynomials, the Homo-separation variable, the modified DTM, which increases the efficiency and effectiveness of the proposed method. The proposed method is direct and straight forward. Hence, it is recommended for obtaining solutions to financial models resulting from either Ito or Stratonovich Stochastic Differential Equations (SDEs).

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

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
Sign in / Sign up

Export Citation Format

Share Document