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

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Alternative Approaches to the Modelling of Volatility in European Option Valuation

Authors
Yun Yin
Corresponding Author
Yun Yin
Available Online December 2013.
DOI
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

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2013 International Conference on the Modern Development of Humanities and Social Science
Series
Advances in Intelligent Systems Research
Publication Date
December 2013
ISBN
978-90786-77-90-1
ISSN
1951-6851
DOI
10.2991/mdhss-13.2013.17How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Yun Yin
PY  - 2013/12
DA  - 2013/12
TI  - Alternative Approaches to the Modelling of Volatility in European Option Valuation
BT  - Proceedings of the 2013 International Conference on the Modern Development of Humanities and Social Science
PB  - Atlantis Press
SP  - 66
EP  - 70
SN  - 1951-6851
UR  - https://doi.org/10.2991/mdhss-13.2013.17
DO  - 10.2991/mdhss-13.2013.17
ID  - Yin2013/12
ER  -