Evaluating volatility forecasts in option pricing in the context of a simulated options market

Computational Statistics and Data Analysis

Volumn 49, Issue 2, 2005, Pages 611-629

  Xekalaki, Evdokia ^a,b   Degiannakis, Stavros ^a  

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^b TRINITY COLLEGE DUBLIN   (Ireland)

Author keywords

ARCH models; Forecast volatility; Model selection; Option pricing; Predictability; Standardized prediction error citerion

Indexed keywords

ALGORITHMS; ERROR ANALYSIS; FORECASTING; MATHEMATICAL MODELS; REGRESSION ANALYSIS; STANDARDIZATION;

ARCH MODELS; FORECAST VOLATILITY; MODEL SELECTION; OPTION PRICING; PREDICTABILITY; STANDARDIZED PREDICTION ERROR CITERION;

MARKETING;

EID: 17644420014     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2004.05.030     Document Type: Article

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