A GARCH Option Pricing Model with Filtered Historical Simulation

281 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Modeling the Dynamics of Correlations Among Implied Volatilities (2015, background): “By 5 See Engle (1982), Bollerslev (1986), or Barone-Adesi et al. (2008).”
Realizing smiles: Options pricing with realized volatility (2013, unknown): “Following Barone-Adesi et al. (2008), options with time to maturity less than 10 days or more than 360 days, implied volatility larger than 70%, or prices less than 0.05 dollars are discarded.”
Quadratic Variance Swap Models (2016, unknown): “…even argues that a positive risk premium should be explicitly modeled, and various studies have followed this approach, e.g., Jackwerth (2000) and Barone-Adesi, Engle, and Mancini (2008). investor takes a long position in the stock index, earning the equity risk premium, and a long position in…”
Tempered stable and tempered infinitely divisible GARCH models (2010, background): “Subsequently, Menn and Rachev (2005a, 2005b) introduced both an enhanced GARCH and a nonlinear GARCH model (NGARCH) with innovations which follow the smoothly truncated stable (STS) distribution.”