Forecasting Volatility and Option Pricing with GARCH Models

Autor:	Jürgen Kähler
Rok vydání:	1993
Předmět:	Foreign exchange rates Financial economics Valuation of options Autoregressive conditional heteroskedasticity Volatility swap Financial market Volatility smile Economics Implied volatility Volatility (finance)
Zdroj:	Operations Research ’92 ISBN: 9783790806793
DOI:	10.1007/978-3-662-12629-5_153
Popis:	In this paper I will explore the applicability of GARCH (generalized autoregressive conditional heteroskedasticity) models to the modelling of volatility in financial markets. More specifically, I will examine the forecasting performance of GARCH models for the volatility of foreign exchange rates and study the implications of these models for option pricing.
Databáze:	OpenAIRE
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