Proceedings of the 2013 International Conference on the Modern Development of Humanities and Social Science

Alternative Approaches to the Modelling of Volatility in European Option Valuation

Authors
Yun Yin
Corresponding Author
Yun Yin
Available Online December 2013.
DOI
https://doi.org/10.2991/mdhss-13.2013.17How to use a DOI?
Keywords
euyropean option, random walk, arch, garch, tarch, monte carlo simulation
Abstract
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
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This is an open access article distributed under the CC BY-NC license.

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Proceedings
2013 International Conference on the Modern Development of Humanities and Social Science
Part of series
Advances in Intelligent Systems Research
Publication Date
December 2013
ISBN
978-90786-77-90-1
ISSN
1951-6851
DOI
https://doi.org/10.2991/mdhss-13.2013.17How to use a DOI?
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  -