haku: @indexterm OPTION VALUATION / yhteensä: 37
viite: 26 / 37
| Tekijä: | Hston, S. Nandi, S. |
| Otsikko: | A closed-form GARCH option valuation model |
| Lehti: | Review of Financial Studies
2000 : FALL, VOL. 13:3, p. 585-626 |
| Asiasana: | FINANCE OPTION VALUATION MODELS |
| Kieli: | eng |
| Tiivistelmä: | This paper develops a closed-form option valuation formula for a spot asset whose variance follows a GARCH process that can be correlated with the returns of the spot asset. It provides the first readily computed option formula for a random volatility model that can be estimated and implemented solely on the basis of observables. The single lag version of this model contains Heston's stochastic volatility model as a continuous-time limit. |
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