This article develops an option pricing model and its corresponding delta formula in the
context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return …

This article develops a general methodology that uses the observed prices of a derivative
contract to compute maximum likelihood parameter estimates for an unobserved asset value …

A family of parametric GARCH models, defined in terms of an auxiliary process and referred
to as the augmented GARCH process, is proposed. The strict stationarity of the augmented …

A forward intensity model for the prediction of corporate defaults over different future periods
is proposed. Maximum pseudo-likelihood analysis is then conducted on a large sample of …

This paper proposes a unified state-space formulation for parameter estimation of
exponential-affine term structure models. The proposed method uses an approximate linear Kalman …

This paper proposes a simple modification to the standard Monte Carlo simulation procedure
for computing the prices of derivative securities. The modification imposes the martingale …

We propose a numerical method for valuing American options in general and for the GARCH
option pricing model in particular. The method is based on approximating the underlying …

This study demonstrates the impact of systematic risk on the prices of individual equity options.
The option prices are characterized by the level and slope of implied volatility curves, and …

This paper develops a family of option pricing models when the underlying stock price dynamic
is modelled by a regime switching process in which prices remain in one volatility regime …

An estimation method is developed for extracting the latent stochastic volatility from VIX, a
volatility index for the S&P 500 index return produced by the Chicago Board Options …