Forecasting options prices using discrete time volatility models estimated at mixed timescales
Option pricing models traditionally have utilized continuous-time frameworks to derive solutions or Monte Carlo schemes to price the contingent claim. Typically these models were calibrated to discrete-time data using a variety of approaches. Recent work on GARCH based option pricing models have int...
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| Main Authors: | , , |
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| Format: | Default Article |
| Published: |
2020
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/11410071.v1 |
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