Estimating and using GARCH models with VIX data for option valuation
J Kanniainen, B Lin, H Yang - Journal of Banking & Finance, 2014 - Elsevier
This paper uses information on VIX to improve the empirical performance of GARCH models
for pricing options on the S&P 500. In pricing multiple cross-sections of options, the models' …
for pricing options on the S&P 500. In pricing multiple cross-sections of options, the models' …
Pricing the CBOE VIX futures with the Heston–Nandi GARCH model
We propose a closed‐form pricing formula for the Chicago Board Options Exchange
Volatility Index (CBOE VIX) futures based on the classic discrete‐time Heston–Nandi …
Volatility Index (CBOE VIX) futures based on the classic discrete‐time Heston–Nandi …
GARCH option pricing with volatility derivatives
DH Oh, YH Park - Journal of Banking & Finance, 2023 - Elsevier
This paper studies benefits of joint estimations for GARCH option pricing that utilize both
stock returns and volatility derivatives. The proposed estimations not only provide realistic …
stock returns and volatility derivatives. The proposed estimations not only provide realistic …
Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model
Z Pan, Y Wang, L Liu, Q Wang - Journal of Futures Markets, 2019 - Wiley Online Library
We develop a new generalized autoregressive conditional heteroskedasticity (GARCH)
model that accounts for the information spillover between two markets. This model is used to …
model that accounts for the information spillover between two markets. This model is used to …
Option pricing with the realized GARCH model: An analytical approximation approach
We derive a pricing formula for European options for the Realized GARCH framework based
on an analytical approximation using an Edgeworth expansion for the density of cumulative …
on an analytical approximation using an Edgeworth expansion for the density of cumulative …
VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Q Wang, Z Wang - Journal of Banking & Finance, 2020 - Elsevier
In this paper, we provide several theoretically relevant and empirically significant
improvements to the general affine realized volatility (GARV) model of Christoffersen et …
improvements to the general affine realized volatility (GARV) model of Christoffersen et …
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm
F Mehrdoust, I Noorani, A Hamdi - Mathematics and Computers in …, 2023 - Elsevier
In this paper, we consider the pricing of American options under a regime-switching double
Heston model, such that the interest rate and mean-reversion level parameters in both …
Heston model, such that the interest rate and mean-reversion level parameters in both …
Option pricing with conditional GARCH models
M Escobar-Anel, J Rastegari, L Stentoft - European Journal of Operational …, 2021 - Elsevier
This paper introduces a class of conditional GARCH models that offers significantly added
flexibility to accommodate empirically relevant features of financial asset returns while …
flexibility to accommodate empirically relevant features of financial asset returns while …
Option valuation via nonaffine dynamics with realized volatility
Y Zhang, Q Zhang, Z Wang, Q Wang - Journal of Empirical Finance, 2024 - Elsevier
This paper evaluates the improvement in option pricing brought about by realized volatility
(RV) through nonaffine dynamics as advocated by Christoffersen et al.(2014). We …
(RV) through nonaffine dynamics as advocated by Christoffersen et al.(2014). We …
Pricing VIX options with realized volatility
We investigate the role of realized volatility in pricing VIX options by using the generalized
affine realized volatility (GARV) model, and the Realized generalized autoregressive …
affine realized volatility (GARV) model, and the Realized generalized autoregressive …