Option pricing under truncated Gram–Charlier expansion

Lin, Sheng-Di; Huang, Hung-Hsi; Li, Sheng-Han

doi:10.1016/j.najef.2015.01.006

Cited by 14 publications

(3 citation statements)

References 44 publications

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“…The success of discrete generalized autoregressive conditional heteroskedasticity (GARCH) models in option valuation has been well documented in recent studies (P. Christoffersen, Jacobs, & Mimouni, ; P. Christoffersen, Jacobs, Ornthanalai, & Wang, ; P. Christoffersen, Jacobs, & Ornthanalai, ; P. Christoffersen, Elkamhi, Feunou, & Jacobs, ; Lin, Huang, & Li, ; Ornthanalai, ) . We use CBOE volatility index (VIX) information to improve volatility forecasting and option pricing performance in the GARCH framework.…”

Section: Introductionmentioning

confidence: 99%

Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model

Pan

Wang

Liu

et al. 2019

Journal of Futures Markets

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We develop a new generalized autoregressive conditional heteroskedasticity (GARCH) model that accounts for the information spillover between two markets. This model is used to detect the usefulness of the CBOE volatility index (VIX) for improving the performance of volatility forecasting and option pricing. We find the significant ability of VIX to predict stock volatility both in‐sample and out‐of‐sample. VIX information also helps to greatly reduce the option pricing error. The proposed volatility spillover GARCH model performs better than the related approaches proposed by Kanniainen et al. (2014, J Bank Finance, 43, pp. 200‐211) and P. Christoffersen et al. (2014, J Financ Quant Anal, 49, pp. 663–697).

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Section: Introductionmentioning

confidence: 99%

Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model

Pan

Wang

Liu

et al. 2019

Journal of Futures Markets

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“…Beyond more traditional applications to estimation and testing, these measures play an important role in such areas as signal detection, clustering, invariant coordinate selection, as well as in pricing and portfolio analysis. Some related literature, without any presumption of completeness, includes Malkovich and Afifi (1973), Srivastava (1984), Koziol (1989), Móri et al (1994), Oja et al (2006), Balakrishnan et al (2007), Kollo (2008), Tyler et al (2009), Ilmonen et al (2010), Peña et al (2010), Tanaka et al (2010), Huang et al (2014), Lin et al (2015), León and Moreno (2017), Nordhausen et al (2017), Jammalamadaka et al (2020).…”

Section: Introductionmentioning

confidence: 99%

Asymptotic theory for statistics based on cumulant vectors with applications

Jammalamadaka

Taufer

Terdik

2021

Scandinavian J Statistics

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For any given multivariate distribution, explicit formulae for the asymptotic covariances of cumulant vectors of the third and the fourth order are provided here. General expressions for cumulants of elliptically symmetric multivariate distributions are also provided. Utilizing these formulae one can extend several results currently available in the literature, as well as obtain practically useful expressions in terms of population cumulants, and computational formulae in terms of commutator matrices. Results are provided for both symmetric and asymmetric distributions, when the required moments exist. New measures of skewness and kurtosis based on distinct elements are discussed, and other applications to independent component analysis and testing are considered.

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“…(We refer to Hui (1997) and Guillaume (2003).) Moreover, non-Black-Scholes models have been considered in pricing options (Lian, Liao, & Chen, 2015;Lin, Huang, & Li, 2015). In particular, non-Black-Scholes models have been adopted to study barrier options; for instance, the constant elasticity of variance (CEV) model in Boyle and Tian (1999) and a jump diffusion model in Kou and Wang (2004).…”

Section: Introductionmentioning

confidence: 99%

Static hedging of chained-type barrier options

Jun

2015

The North American Journal of Economics and Finance

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Option pricing under truncated Gram–Charlier expansion

Cited by 14 publications

References 44 publications

Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model

Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model

Asymptotic theory for statistics based on cumulant vectors with applications

Static hedging of chained-type barrier options

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