The finite sample properties of the GARCH option pricing model

Dotsis, George and Markellos, Raphael-Nicholas (2007) The finite sample properties of the GARCH option pricing model. Journal of Futures Markets, 27 (6). pp. 599-615. ISSN 0270-7314

Full text not available from this repository. (Request a copy)

Abstract

The authors explore the finite sample properties of the generalized autoregressive conditional heteroscedasticity (GARCH) option pricing model proposed by S. L. Heston and S. Nandi (2000). Simulation results show that the maximum likelihood estimators of the GARCH process may contain substantial estimation biases, even when samples as large as 3,000 observations are used. However, it was found that these biases cause significant mispricings only for short-term, out-of-the-money options. It is shown that, given an adequate estimation sample, this bias can be reduced considerably by employing the jackknife resampling method.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: Raphael Markellos
Date Deposited: 27 Oct 2011 08:16
Last Modified: 31 Oct 2019 13:49
URI: https://ueaeprints.uea.ac.uk/id/eprint/35219
DOI: 10.1002/fut.20241

Actions (login required)

View Item View Item