Alternative Approaches to the Modelling of Volatility in European Option Valuation
- Yun Yin
- Corresponding Author
- Yun Yin
Available Online December 2013.
- https://doi.org/10.2991/mdhss-13.2013.17How to use a DOI?
- euyropean option, random walk, arch, garch, tarch, monte carlo simulation
- This chapter uses four different models to value the option price: Random Walk (RW), ARCH, GARCH and TARCH. Each model is applied within a Monte-Carlo framework. I attempt to identify the best model in terms of their ability to predict the market price of the option
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Yun Yin PY - 2013/12 DA - 2013/12 TI - Alternative Approaches to the Modelling of Volatility in European Option Valuation BT - 2013 International Conference on the Modern Development of Humanities and Social Science PB - Atlantis Press SN - 1951-6851 UR - https://doi.org/10.2991/mdhss-13.2013.17 DO - https://doi.org/10.2991/mdhss-13.2013.17 ID - Yin2013/12 ER -