Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1, 1) and Egarch (1, 1) Models.
HM Kat, RC Heynen - Journal of Derivatives, 1994 - papers.ssrn.com
Future volatility is a key input for pricing and hedging derivatives and for quantitative
investment strategies in general. There are many different approaches. This article investigates …
investment strategies in general. There are many different approaches. This article investigates …
Partial barrier options
RC Heynen, HM Kat - The Journal of Financial Engineering, 1994 - papers.ssrn.com
In this paper we study the pricing of barrier options where the period during which the
underlying price is monitored for barrier hits is restricted to only part of the options' lifetime. We …
underlying price is monitored for barrier hits is restricted to only part of the options' lifetime. We …
Lookback options with discrete and partial monitoring of the underlying price
RC Heynen, HM Kat - Applied Mathematical Finance, 1995 - Taylor & Francis
… Using the same terminology as in Heynen and Kat (1994b), we refer to such options as type
A options. During the lookback period the underlying price is monitored at a number of, not …
A options. During the lookback period the underlying price is monitored at a number of, not …
Pricing and hedging power options
RC Heynen, HM Kat - Financial Engineering and the Japanese Markets, 1996 - Springer
In this paper we study the pricing and hedging of options whose payoff is a polynomial
function of the underlying price at expiration; so-called ‘power options’. Working in the well-known …
function of the underlying price at expiration; so-called ‘power options’. Working in the well-known …
Discrete partial barrier options with a moving barrier
HM Kat, RC Heynen - Journal of Financial Engineering, 1996 - papers.ssrn.com
Barrier options come in many forms. In this article we study the pricing of discrete partial
barrier options where the barrier level may change deterministically during the monitoring …
barrier options where the barrier level may change deterministically during the monitoring …
Selective memory
HM Kat, RC Heynen - Cass Business School Research Paper, 2003 - papers.ssrn.com
Lookback options provide investors with perfect market timing services. However, these
options are hardly ever traded because they are much more expensive than ordinary options. …
options are hardly ever traded because they are much more expensive than ordinary options. …
Volatility
RC Heynen, HM Kat - Applications in Finance, Investments, and Banking, 1999 - Springer
… Heynen tested the hypothesis that the observed bias can be explained by a certain dass
of … Heynen developed an alternative explanation by studying the additional costs that are …
of … Heynen developed an alternative explanation by studying the additional costs that are …
Crossing barriers
HM Kat, RC Heynen - Cass Business School Research Paper, 2015 - papers.ssrn.com
With traditional barrier options, life and death of the option are determined by the same
reference index as the index underlying the original option contract. It is, however, also possible …
reference index as the index underlying the original option contract. It is, however, also possible …
Harry M. Kat Bank of America
RC Heynen, B Paribas - Applications in Finance, Investments …, 1998 - books.google.com
… Heynen tested the hypothesis that the observed bias can be explained by a certain class
of … Heynen developed an alternative explanation by studying the additional costs that are …
of … Heynen developed an alternative explanation by studying the additional costs that are …
[CITATION][C] Essays on Derivatives Pricing Theory
RC Heynen - 1995 - Thesis Publishers