Which GARCH model for option valuation?

Management Science

Volumn 50, Issue 9, 2004, Pages 1204-1221

  Christoffersen, Peter ^a   Jacobs, Kris ^a  

^a MCGILL UNIVERSITY   (Canada)

Author keywords

Forecasting; GARCH; Option pricing; Out of sample; Parsimony; Risk neutral pricing

Indexed keywords

COMPUTER SIMULATION; FUNCTIONS; MANAGEMENT SCIENCE; MATHEMATICAL MODELS; PARAMETER ESTIMATION; TIME SERIES ANALYSIS; VALUE ENGINEERING;

GARCH; OPTION PRICING; PARSIMONY; RISK-NEUTRAL PRICING;

RISK MANAGEMENT;

EID: 4944226107     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.1040.0276     Document Type: Article

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