An extension of the GARCH option pricing model : theory and empirical analysis
An extension of the GARCH option pricing model : theory and empirical analysis
GARCH期权定价模型的扩展：理论与实证分析
批准号：
21530314
负责人：
KIM Yong-jin
金额：
$1.66万
依托单位：
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2009
资助国家：
日本
项目状态：
已结题
起止时间：
2009 至 2011
中文摘要
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英文摘要
The purpose of this paper is to recapitulate the previous theoretical achievements on the GARCH option pricing with conditional non-normality in a unified framework and provide the empirical evidence that incorporating the exponential generalized beta distribution of the second(EGB2) innovation in lieu of the normal innovation contributes to the improvement of pricing performance. We confirm the empirical relevance of the NGARCH-EGB2 option pricing model, using the S & P 500 index options data on every Wednesday from January 2, 2002 to December 27, 2006.
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