Smarter than the Options-Market? A Real-Measure GARCH Option Pricing Model with Volatility Regime Simulation

Author:

Donninger Dr. Chrilly

Publisher

Elsevier BV

Reference31 articles.

1. Figure 2.12 Cost of market entry versus trade costs, 2012

2. IVTS-CEV (Interactive Video Tape System-Combat Engineer Vehicle) Gunnery Trainer.

3. ] provide no further hint for the entry problem. One application of the GRJ-GARCH model is to answer the question, if an option is cheap or expensive. One sells only expensive options. The market-IV (price);It is the ratio of the 1-month and the 3-month implied volatility

4. was an OTM-Put with a delta of -0.15 and a maturity between 31 to 22 trading days. Starting at 31 trading days before maturity, one enters the position the first time the Kir (and GARCH) criterion is met. Trading is done from;One of the interesting strategies in

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