A Closed-Form GARCH Option Valuation Model

By Steven Heston, Saikat Nandi. 2000

934 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2b61511b8925b9b6a2601ad306c719242ba47cf9

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Citations in the corpus

Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model (2017, methodology): “In this paper, we discuss VIX futures pricing under the classic discrete-time Heston–Nandi GARCH model of Heston and Nandi (2000), which is very popular in the option pricing literature.”
Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface (2005, methodology): “Heston and Nandi (2000) report the superior performance (in- and out-of-sample) of this model over DFW s ad-hoc strawman when estimated on weekly S&P 500 options data for the period 1992-1994.”
An empirical comparison of GARCH option pricing models (2006, methodology): “Heston and Nandi (2000) provide considerable empirical support for their GARCH option pricing model.”
Option prices under Bayesian learning: implied volatility dynamics and predictive densities (2003, methodology): “These include stochastic volatility (Hull and White (1987), Wiggins (1987), Melino and Turnbull (1990), Heston (1993)) and GARCH models (Duan (1995), Heston and Nandi (2000)); models with jumps in the underlying price process (Merton (1976)); jump-diffusion models (Ball and Torous (1985), Amin…”
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution (2008, positive): “The theoretical foundation for option pricing in this more general framework was provided in Duan (1999) which extends the Gaussian GARCH option pricing model to situations with conditional leptokurtic distributions. In particular the choice of distribution in that paper is the Generalized Error Dis”
Nonlinear neural network forecasting model for stock index option price: Hybrid GJR-GARCH approach (2009, methodology): “…and they applied the neural network model and obtained better results than using the traditional option-pricing model (Amilon, 2003; Binner et al., 2005; Heston & Nandi, 2000; Hutchinson, Lo, & Poggio, 1994; Lin & Yeh, 2005; Malliaris & Salchenberger, 1996; Qi, 1999; Yao, Li, & Tan, 2000).”
Financial market models with Lévy processes and time-varying volatility. (2008, positive): “GARCH models of Duan (1995) and Heston and Nandi (2000) are important works on the non-Markovian structure of asset returns with the normal innovation process, but the normal innovation process disregards the empirical innovation process of asset returns.”
Option Valuation with Observable Volatility and Jump Dynamics (2015, positive): “We also develop two special cases of the general model and we brie y describe the Heston and Nandi (2000) benchmark GARCH model as well.”
Dependence structure and extreme comovements in international equity and bond markets (2011, positive): “…r2i;t denotes the conditional variance of xi,t, ki can be interpreted as the price of risk and ci captures potential asymmetries in the volatility effect.18 In the Heston and Nandi (2000) interpretation, li represents the interest rate.19 The parameters of the marginal distributions are…”
VOLATILITY AND CORRELATION FORECASTING (2006, background): “Recent discrete-time applications, building on the theoretical work of Duan (1995) and Heston (1993), can be found in Christoffersen and Jacobs (2004a, 2004b) and Heston and Nandi (2000).”
Pricing and Inference with Mixtures of Conditionally Normal Processes (2009, neutral): “…Jones (2003)]; ii) GARCH-type conditional volatilities [see Engle and Mustafa (1992), Bollerslev and Mikkelsen (1996), Duan (1995, 1996, 1999), Heston and Nandi (2000), Duan, Gauthier, Simonato and Sasseville (2004), Christoffersen, Heston and Jacobs (2004), Christoffersen and Jacobs (2004),…”
Informed trading in the index option market: The case of KOSPI 200 options (2008, background): “26 We follow Heston and Nandi (2000) for the calculation of option moneyness. the index futures market ( Fadverse ), a dummy variable indicating the nearest-maturity contract ( Nearest ), and seven intraday dummy variables ( ID1 (cid”