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AMERICAN OPTION PRICING UNDER GARCH DIFFUSION MODEL: AN EMPIRICAL STUDY 被引量:2
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作者 WU Xinyu YANG Wenyu +1 位作者 MA Chaoqun ZHAO Xiujuan 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2014年第1期193-207,共15页
The GARCH diffusion model has received much attention in recent years, as it describes financial time series better when compared to many other models. In this paper, the authors study the empirical performance of Ame... The GARCH diffusion model has received much attention in recent years, as it describes financial time series better when compared to many other models. In this paper, the authors study the empirical performance of American option pricing model when the underlying asset follows the GARCH diffusion. The parameters of the GARCH diffusion model are estimated by the efficient importance sampling-based maximum likelihood (EIS-ML) method. Then the least-squares Monte Carlo (LSMC) method is introduced to price American options. Empirical pricing results on American put options in Hong Kong stock market shows that the GARCH diffusion model outperforms the classical constant volatility (CV) model significantly. 展开更多
关键词 American option efficient importance sampling GARCH diffusion model least-squaresMonte Carlo maximum likelihood.
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