Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach

Published:2016-11-18 Issue:4 Volume:37 Page:328-358
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Jrl Fut Mark

Author:

Huang Zhuo¹^ORCID,Wang Tianyi²,Hansen Peter Reinhard³

Affiliation:

1. Zhuo Huang is at the National School of Development, Peking University; Beijing China

2. Tianyi Wang is at the School of Banking and Finance, University of International Business and Economics; Beijing China

3. Peter Reinhard Hansen is at the University of North Carolina at Chapel Hill, North Carolina, USA and CREATES; Aarhus Denmark

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference25 articles.

1. Modeling and Forecasting Realized Volatility

2. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

3. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

4. Option valuation with conditional skewness

Cited by 46 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Forecasting Chinese stock market volatility with high-frequency intraday and current return information;Pacific-Basin Finance Journal;2024-09

2. On practitioners closed-form GARCH option pricing;International Review of Financial Analysis;2024-07

3. A novel term-structure-based Heston model for implied volatility surface;International Journal of Computer Mathematics;2024-06-02

4. Option valuation via nonaffine dynamics with realized volatility;Journal of Empirical Finance;2024-06

5. European option pricing Prediction under time-varying Brown Motion Based on LSTM Hybrid Neural Network;Proceedings of the 2024 International Conference on Digital Society and Artificial Intelligence;2024-05-24

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3