GARCH vs. stochastic volatility: Option pricing and risk management

By Alfred Lehar, Martin Scheicher, Christian Schittenkopf. 2002

134 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/dbb22a9a649d8d43b00d75f84527a880b40dbd91

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In Finance

1. K. Hsieh
2. Pilar Abad
3. Carmen López
4. Sonia Benito
5. Peter H. Ritchken
6. Lars Stentoft

Citations in the corpus

• A comprehensive review of Value at Risk methodologies (2014, methodology): “Some applications of the SV model to measure VaR can be found in Fleming and Kirby (2003), Lehar et al. (2002), Chen et al. (2011) and González-Rivera et al. (2004).”
• An empirical comparison of GARCH option pricing models (2006, background): “Lehar, Scheicher, and Schittenkoph (2002) compare the out of sample performance of some GARCH and stochastic volatility models on the FTSE 100 index and conclude that their GARCH model performs best.”