An extension of the GARCH option pricing model : theory and empirical analysis

本文的目的是在一个统一的框架下总结GARCH期权条件非正态性定价的理论成果，并提供实证证据，证明采用第二次创新（EGB2）的指数广义beta分布代替常态创新有助于提高定价绩效。我们利用2002年1月2日至2006年12月27日每周三的标准普尔500指数期权数据，验证了NGARCH-EGB2期权定价模型的实证相关性。

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.