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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Bibliographic Details
Main Authors: Giovanni Calice, Jing Chen, Julian Williams
Format: Default Article
Published: 2020
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