search query: @freeterm GARCH / total: 9
reference: 6 / 9
| Author: | Bollen, N.P.B. Raisel, E. |
| Title: | The performance of alternative valuation models in the OTC currency options market |
| Journal: | Journal of International Money and Finance
2003 : FEB, VOL. 22:1, p. 33-64 |
| Index terms: | Currency options Option valuation Over the counter market |
| Freeterms: | GARCH |
| Language: | eng |
| Abstract: | Option valuation models based on regime-switching, GARCH, and jump-diffusion processes are compared to a standard "smile" model, in which Black and Scholes (1973) implied volatilities are allowed to vary across strike prices. The regime-switching, GARCH, and jump-diffusion models provide significant improvement over a fixed smile model in fitting GBP and JPY option prices both in-sample and out-of-sample. |
SCIMA