Heston, S. and S. Nandi (2000). A Closed-Form GARCH Option Pricing Model. Review of Financial Studies, 13, 586-625. Home/Search Document Details and Download
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Preference-Free Option Pricing with Path-Dependent. . . - Heston, al. (1998) (2 citations) (Correct)
....process that is imperfectly correlated with the Wiener process driving the asset return and volatility is not a traded asset. Equivalently, the risk neutral measure in these models is not unique and one cannot form an instantaneous riskfree portfolio by trading in the asset and one option only. Heston and Nandi (1998) have developed an option pricing model based on an asymmetric GARCH process that offers closed form solutions for option prices. It is shown here that the continuous time limit of that particular GARCH model is a diffusion model in which the spot asset and its variance are driven by two Wiener ....
....measure converge to well defined continuous time limits, one still needs to verify that the discrete riskneutral processes converge to appropriate continuous time limits if the discrete time GARCH option prices are to converge to their continuous time limits. As shown in Proposition 1 of Heston and Nandi (1998), in the risk neutral distribution, g is replaced by g l and l is replaced by 1 2. Therefore, the risk neutral parameter for the v(t) process is 6 g v (D) g 1 (D) D = 2 s D ( k s l ) D. 8) Consequently the risk neutral process has a different mean E t D ....
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Heston, Steven L. and Saikat Nandi, 1998, "A Closed-Form GARCH Option Pricing Model", Working Paper, Federal Reserve Bank Atlanta.
Approximating the GJR-GARCH and EGARCH Option Pricing.. - Jin-Chuan Duan Genevieve (Correct)
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Heston, S. and S. Nandi (2000). A Closed-Form GARCH Option Pricing Model. Review of Financial Studies, 13, 586-625.
Approximating American Option Prices in the GARCH.. - Duan, Gauthier.. (2003) (Correct)
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Heston, S. and S. Nandi, 2000, A closed-form GARCH option pricing model, Review of Financial Studies 13, 586-625.
The Importance of the Loss Function in Option Pricing - Christoffersen, Jacobs (2001) (Correct)
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Heston, S. and S. Nandi (2000), \A Closed-Form GARCH Option Pricing Model," Review of Financial Studies, 13, 585-626.
Alternative Models for Stock Price Dynamics - Chernov, Gallant, Ghysels.. (2001) (2 citations) (Correct)
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Heston, S.L. and S. Nandi (2000): A Closed-Form GARCH Option Pricing Model, Review of Financial Studies, 13, 585-625.
Hedging Options under Transaction Costs and Stochastic.. - Gondzio, Kouwenberg, Vorst (1999) (1 citation) (Correct)
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Heston S.L. and S. Nandi (1997), A Closed-Form GARCH Option Pricing Model, Working Paper 97-9, Federal Reserve Bank of Atlanta.
Hedging Options under Transaction Costs and Stochastic.. - Gondzio, Kouwenberg, Vorst (2000) (1 citation) (Correct)
No context found.
Heston S.L. and S. Nandi (1997), A Closed-Form GARCH Option Pricing Model, Working Paper 97-9, Federal Reserve Bank of Atlanta.
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