| Autor: |
Mozumder, Sharif, Talukdar, Bakhtear, Kabir, M. Humayun, Li, Bingxin |
| Předmět: |
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| Zdroj: |
Review of Quantitative Finance & Accounting; Jan2024, Vol. 62 Issue 1, p97-133, 37p |
| Abstrakt: |
This paper proposes an approximate closed-form option-pricing model based on a non-linear GARCH process with Normal Inverse Gaussian (NIG) Lévy innovations. We develop the mathematical framework and demonstrate how to obtain a closed-form solution to the option price when the return dynamics are characterized by NIG innovations for volatility that follow a non-linear GARCH process. Using a sample of S&P 500 index options, we calibrate the proposed model alongside popular existing models. Overall, from a unified comparison of various analytic pricing approaches, we find that our model performs significantly better than existing models, both in-sample and out-of-sample. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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