美式期权估值:GARCH定价模型的隐含校准

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-08-01 DOI:10.2139/ssrn.1470686

Michael Weber, Marcel Prokopczuk

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引用次数: 11

摘要

本文分析了标的资产呈现garch型波动率过程时美式期权估值的问题。我们建议使用Rubinstein's Edgeworth二项树(EBT)，而不是在以前的研究中考虑的基于模拟的方法。基于ebt的估值方法使得定价模型的隐含校准成为可能。通过对美国指数和股票期权定价绩效的实证分析，说明了本文方法的优越性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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American Option Valuation: Implied Calibration of GARCH Pricing-Models

This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets