Steven L. Heston, et al.  Home/Search
Context Related
| frb.org/publica/work_papers...Wp979.pdf Cached: PS.gz PS PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
Image Update HelpPS.gz PS PDF From: frb.org/publica/work_pape...wp979 (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: : This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH process. The single-factor (one-lag) version of this model contains Heston's (1993) stochastic volatility model as a diffusion limit and therefore unifies the discrete-time GARCH and continuous-time stochastic volatility literature of option... (Update)
Context of citations to this paper: More
...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...
Cited by: More
Approximating the GJR-GARCH and EGARCH Option Pricing.. - Jin-Chuan Duan Genevieve (Correct)
Approximating American Option Prices in the GARCH.. - Duan, Gauthier.. (2003) (Correct)
The Importance of the Loss Function in Option Pricing - Christoffersen, Jacobs (2001) (Correct)
Active bibliography (related documents): More All
0.7: Preference-Free Option Pricing with Path-Dependent. . . - Heston, al. (1998) (Correct)
0.6: Options and Volatility - Abken, Nandi (Correct)
0.6: A Market Model For Stochastic Implied Volatility - Schönbucher (1998) (Correct)
Similar documents based on text: More All
1.1: A Unified Theory of Option Pricing under Stochastic Volatility.. - Duan (1996) (Correct)
0.6: Risk Premium and Pricing of Derivatives in Complete Markets - Duan (1991) (Correct)
0.5: Option Pricing in a World With Arbitrage - Guo, Shepp (2000) (Correct)
Related documents from co-citation: More All
6: The GARCH option pricing model (context) - DUAN - 1995
5: A closed-form solution for options with Stochastic Volatility with applications .. (context) - Heston - 1993
5: The Pricing of Options and Corporate Liabilities (context) - Black, Scholes
BibTeX entry: (Update)
Heston S.L. and S. Nandi (1997), A Closed-Form GARCH Option Pricing Model, Working Paper 97-9, Federal Reserve Bank of Atlanta. http://citeseer.ist.psu.edu/heston97closedform.html More
@misc{ heston97closedform,
author = "S. Heston and S. Nandi",
title = "A Closed-Form GARCH Option Pricing Model",
text = "Heston S.L. and S. Nandi (1997), A Closed-Form GARCH Option Pricing Model,
Working Paper 97-9, Federal Reserve Bank of Atlanta.",
year = "1997",
url = "citeseer.ist.psu.edu/heston97closedform.html" }
Citations (may not include all citations):1749 An Introduction to Probability Theory and Its Applications (context) - William - 1966
434 The Pricing of Options and Corporate Liabilities (context) - Fisher, Scholes - 1973
185 Numerical Recipes in C - The Art of Scientific Computing (context) - Press, Teukolsky et al. - 1992
184 Generalized Autoregressive Conditional Heteroskedasticity (context) - Tim - 1986
156 A Theory of the Term Structure of Interest Rates (context) - John, Ingersoll et al. - 1985
139 Autoregressive Conditional Heteroskedasticity (context) - Robert - 1982
131 The Advanced Theory of Statistics (context) - Maurice, Stuart - 1977
103 An Equilibrium Characterization of the Term Structure (context) - Oldrich - 1977
88 A Closed-Form Solution for Options with Stochastic Volatilit.. (context) - Steven - 1993
76 The Valuation of Options for Alternative Stochastic Processe.. (context) - John, Ross - 1976
69 Implied Binomial Trees (context) - Mark - 1994
58 Prices of State-Contingent Claims Implicit In Options Prices (context) - Douglas, Robert et al. - 1978
49 Measuring and Testing the Impact of News on Volatility (context) - Robert, Ng - 1993
39 The Pricing of Foreign Currency Options With Stochastic Vola.. (context) - Angelo, Turnbull - 1990
38 The GARCH Option Pricing Model (context) - Jin-Chuan - 1995
36 Riding on the Smile (context) - Emanuel, Kani - 1994
24 Options Markets (context) - John, Rubinstein - 1985
22 The Valuation of Uncertain Income Streams and the Pricing of.. (context) - Mark - 1976
16 Implied Volatility Functions: Empirical Tests - Bernard, Fleming et al. - 1996
15 The Stochastic Behavior of Common Stock Variances: Value, Le.. (context) - Andrew - 1982
10 Empirical Performance of Alternative Option Pricing Models (context) - Gurdip, Cao et al. - 1997
10 The Pricing of Contingent Claims in Discrete Time Models (context) - Michael - 1979
10 Implied ARCH Models from Options Prices (context) - Robert, Mustafa - 1992
9 Pricing Options Under Generalized GARCH and Stochastic Volat.. (context) - Peter, Trevor - 1997
8 Post -'87 Crash Fears in the S&P 500 Futures Options (context) - David - 1996
7 Asymptotic Filtering Theory for Univariate ARCH Models (context) - Daniel, Foster - 1994
6 An Analytical Approximation for the GARCH Option Pricing Mod.. (context) - Jin-Chuan, Gauthier et al. - 1997
4 Pricing and Hedging Index Options under Stochastic Volatilit.. (context) - Saikat - 1996
3 The Pricing of Foreign Currency Options With Stochastic Vola.. (context) - Hans - 1992
3 Jumps & Stochastic Volatility: Exchange Rate Processes Impli.. (context) - David - 1996
2 ARCH Processes and Option valuation (context) - Kaushik, Ng - 1993
2 Pricing with a Smile (context) - Bruno - 1994
1 Testing Continuous Time Models of the Term Structure of Inte.. (context) - Steven - 1990
1 Conditional Heteroskedastictiy in Asset Returns: A New Appro.. (context) - Daniel - 1991
The graph only includes citing articles where the year of publication is known.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC