create a website

Option Valuation with Conditional Heteroskedastic Hidden Truncation Models. (2024). Belhachemi, Rachid.
In: Computational Economics.
RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10480-6.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 42

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Amin, K. I., & Ng, V. K. (1993). Option valuation with systematic stochastic volatility. Journal of Finance, 48(3), 881–910.

  2. Arnold, B. C., & Gomez, H. W. (2009). Hidden truncation and additive components: Two alternative skewing paradigms. Calcutta Statistical Association Bulletin, 61, 241–244.
    Paper not yet in RePEc: Add citation now
  3. Arnold, B. C., Beaver, R. J., Groeneveld, R. A., et al. (1993). The non- truncated marginal of a truncated bivariate normal distribution. Psychometrika, 58, 471–8.

  4. Azzalini, A. (1985). A class of distributions which includes the normal ones. Scandinavian Journal of Statistics, 12, 171–8.
    Paper not yet in RePEc: Add citation now
  5. Azzalini, A., & Dalla Valle, A. (1996). The multivariate skew-normal distribution. Biometrika, 83, 715–726.
    Paper not yet in RePEc: Add citation now
  6. Bakshi, G., Cao, C., & Chen, Z. (2012). Empirical performance of alternative option pricing models. Journal of Finance, 52, 2003–49.
    Paper not yet in RePEc: Add citation now
  7. Bakshi, G., Carr, P., & Wu, L. (2006). Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. Journal of Financial Economics, 87, 132–56.
    Paper not yet in RePEc: Add citation now
  8. Barndorff-Nielsen, O., & Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial economics. Journal of the Royal Statistical Society- Series B, 63, 167–241.

  9. Bates, D. (2003). Empirical option pricing: A retrospection. Journal of Econometrics, 116, 387–404.

  10. Black, F. (1976) Studies of Stock Market Volatility Changes, In Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181.
    Paper not yet in RePEc: Add citation now
  11. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(6), 37–654.

  12. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–27.

  13. Carr, P., & Wu, L. (2007). Stochastic skew in currency options. Journal of Financial Economics, 86, 213–47.

  14. Christoffersen, P., & Jacobs, K. (2004). Which GARCH model for option valuation? Management Science, 50, 1204–1221.

  15. Christoffersen, P., Elkamhi, R., Feunou, B., et al. (2010a). Option valuation with conditional heteroskedasticity and non-normality. Review of Financial Studies, 23, 2139–2183.

  16. Christoffersen, P., Heston, S., & Jacobs, K. (2006). Option valuation with conditional skewness. Journal of Econometrics, 131, 253–84.

  17. Christoffersen, P., Jacobs, K., Dorion, C., et al. (2010b). Volatility components, affine restrictions and non-normal innovations. Journal of Business and Economic Statistics, 28, 483–502.

  18. Christoffersen, P., Jacobs, K., Ornthanalai, C., et al. (2008). Option valuation with long-run and short-run volatility components. Journal of Financial Economics, 90, 272–97.

  19. Duan, J. (1995). The GARCH option pricing model. Mathematical Finance, 5, 13–32.

  20. Duan, J. (1999). Conditionally fat-tailed distributions and the volatility smile in options. Hong Kong University of Science and Technology.
    Paper not yet in RePEc: Add citation now
  21. Duan, J., Ritchken, C. P., & Sun, Z. (2006). Approximating GARCH-jump models, jump-diffusion process, and option pricing. Mathematical Finance, 16(1), 21–52.
    Paper not yet in RePEc: Add citation now
  22. Durham, G. (2007). SV mixture models with application to S &P 500 index returns. Journal of Financial Economics, 85, 822–56.

  23. Engle, R. F., & Ng, G. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48, 1749–78.

  24. Eraker, B. (2004). Do stock prices and volatility jump? reconciling evidence from spot and option prices. Journal of Finance, 59, 1367–1403.

  25. Frühwirth-Schnatter, S. (2006). Finite mixture and markov switching models. New York: Springer.
    Paper not yet in RePEc: Add citation now
  26. Henze, N. (1986). A probabilistic representation of the skew-normal distribution. Scandinavian Journal of Statistics, 13, 271–275.
    Paper not yet in RePEc: Add citation now
  27. Heston, S. L., & Nandi, S. (2000). A closed-Form GARCH option valuation model. Review of Financial Studies, 13(3), 585–625.

  28. Hsieh, K. C., & Ritchken, P. (2005). An Empirical Comparison of GARCH Option Pricing Models. Review of Derivatives Research, 8, 129–50.

  29. Hull, J., & White, A. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42(2), 281–300.

  30. Johnson, H., & Shanno, D. (1987). Option pricing when the variance is changing. Journal of Financial and Quantitative Analysis, 22(2), 143–51.

  31. McLachlan, G., & Peel, D. (2000). Finite mixture models. New York: Wiley Interscience.
    Paper not yet in RePEc: Add citation now
  32. Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1), 141–83.

  33. Nandi, S., ( 1996) Pricing and hedging index options under stochastic volatility: An empirical examination, Federal Reserve Bank of Atlanta, 96-99.
    Paper not yet in RePEc: Add citation now
  34. Nocedal, J. , & Wright S.(2006) Numerical Optimization. Springer Series in Operations Research and Financial Engineering) 2nd Edn.
    Paper not yet in RePEc: Add citation now
  35. Pan, J. (2002). The jump-risk premia implicit in options: Evidence from an integrated time series study. Journal of Financial Economics, 63, 3–50.

  36. Rombouts, J., & Stentoft, L. (2010). Option pricing with asymmetric heteroskedastic normal mixture models. CREATES, 44, 1–48.

  37. Rombouts, J., & Stentoft, L. (2014). Bayesian option pricing using mixed normal heteroskedasticity model. Computational Statistics & Data Analysis, 76, 588−605.

  38. Scott, L. O. (1987). Option pricing when the variance changes randomly: Theory, estimation, and an application. Journal of Financial and Quantitative Analysis, 22(4), 419–438.

  39. Stein, E. M., & Stein, J. C. (1991). Stock price distributions with stochastic volatility: An analytical approach. Review of Financial Studies, 4(4), 727–52.

  40. Stentoft, L. (2008). American option pricing using GARCH models and the normal inverse gaussian distribution. Journal of Financial Econometrics, 6(4), 540–82.

  41. Wiggins, J. B. (1987). Option values under stochastic volatility: Theory and empirical estimates. Journal of Financial Economics, 19, 351–72.

  42. Zhang, M., & Zheng, X. (2023). Numerical approximation to a variable-order time-fractional Black–Scholes model with applications in option pricing. Computational Economics, 62, 1155–1175.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin.
    In: Working Papers.
    RePEc:pre:wpaper:201646.

    Full description at Econpapers || Download paper

  2. Asset Pricing with Second-Order Esscher Transforms.. (2012). Pegoraro, Fulvio ; Monfort, Alain.
    In: Working papers.
    RePEc:bfr:banfra:397.

    Full description at Econpapers || Download paper

  3. Jump risk, stock returns, and slope of implied volatility smile. (2011). Yan, Shu.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:1:p:216-233.

    Full description at Econpapers || Download paper

  4. Expected returns, risk premia, and volatility surfaces implicit in option market prices. (2011). Krehbiel, Tim ; Li, Weiping ; Camara, Antonio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:215-230.

    Full description at Econpapers || Download paper

  5. Stock market momentum, business conditions, and GARCH option pricing models. (2011). Chiang, Min-Hsien ; Huang, Hsin-Yi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:488-505.

    Full description at Econpapers || Download paper

  6. American option pricing under stochastic volatility: an empirical evaluation. (2010). Guha, Suchandan ; Goswami, Manisha ; Aitsahlia, Farid.
    In: Computational Management Science.
    RePEc:spr:comgts:v:7:y:2010:i:2:p:189-206.

    Full description at Econpapers || Download paper

  7. A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes. (2009). Pajor, Anna.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:1:y:2009:i:1:p:71-81.

    Full description at Econpapers || Download paper

  8. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0926.

    Full description at Econpapers || Download paper

  9. Two counters of jumps. (2009). Camara, Antonio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:3:p:456-463.

    Full description at Econpapers || Download paper

  10. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; Schrager, David ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:436-448.

    Full description at Econpapers || Download paper

  11. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-19.

    Full description at Econpapers || Download paper

  12. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-07.

    Full description at Econpapers || Download paper

  13. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis. (2007). Zerilli, Paola.
    In: Discussion Papers.
    RePEc:yor:yorken:07/08.

    Full description at Econpapers || Download paper

  14. Pricing and Inference with Mixtures of Conditionally Normal Processes.. (2007). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:188.

    Full description at Econpapers || Download paper

  15. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:76.

    Full description at Econpapers || Download paper

  16. Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model. (2005). Leung, Mark T. ; Chen, An-Sing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:12:p:2947-2969.

    Full description at Econpapers || Download paper

  17. Pricing American options when the underlying asset follows GARCH processes. (2005). Stentoft, Lars.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:4:p:576-611.

    Full description at Econpapers || Download paper

  18. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

    Full description at Econpapers || Download paper

  19. Empirical assessment of an intertemporal option pricing model with latent variables. (2003). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:49-83.

    Full description at Econpapers || Download paper

  20. Spectral GMM estimation of continuous-time processes. (2003). Viceira, Luis ; Chacko, George.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:259-292.

    Full description at Econpapers || Download paper

  21. Small dimension PDE for discrete Asian options. (2003). Benhamou, Eric ; Duguet, Alexandre .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2095-2114.

    Full description at Econpapers || Download paper

  22. Option Valuation with Conditional Skewness. (2003). Heston, Steve ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-50.

    Full description at Econpapers || Download paper

  23. Option pricing with Levy Process. (2002). Benhamou, Eric.
    In: Finance.
    RePEc:wpa:wuwpfi:0212006.

    Full description at Econpapers || Download paper

  24. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-10.

    Full description at Econpapers || Download paper

  25. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-09.

    Full description at Econpapers || Download paper

  26. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-02.

    Full description at Econpapers || Download paper

  27. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-01.

    Full description at Econpapers || Download paper

  28. Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity. (2000). Khalaf, Lynda ; Bilodeau, Jean-Franois ; Saphores, Jean-Daniel.
    In: Cahiers de recherche.
    RePEc:lvl:lagrcr:0004.

    Full description at Econpapers || Download paper

  29. An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis. (2000). Aase, Knut.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:27:y:2000:i:3:p:345-363.

    Full description at Econpapers || Download paper

  30. Pricing and hedging derivative securities with neural networks and a homogeneity hint. (2000). Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:93-115.

    Full description at Econpapers || Download paper

  31. Pricing and hedging long-term options. (2000). Chen, Zhiwu ; Cao, Charles ; Bakshi, Gurdip.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:277-318.

    Full description at Econpapers || Download paper

  32. A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets. (1999). Melenberg, Bertrand ; Werker, Bas.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:2:y:1999:i:1:p:11-30.

    Full description at Econpapers || Download paper

  33. ARCH Models and Option Pricing: the Continuous-Time Connection. (1999). Mele, Antonio ; Fornari, Fabio.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:113.

    Full description at Econpapers || Download paper

  34. Empirical Tests of Interest Rate Model Pricing Kernels. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-015.

    Full description at Econpapers || Download paper

  35. Long-term equity anticipation securities and stock market volatility dynamics. (1999). Bollerslev, Tim ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:92:y:1999:i:1:p:75-99.

    Full description at Econpapers || Download paper

  36. Latent Variable Models for Stochastic Discount Factors. (1999). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-47.

    Full description at Econpapers || Download paper

  37. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9801.

    Full description at Econpapers || Download paper

  38. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

  39. An empirical examination of currency futures options under stochastic interest rates. (1998). Poon, Winnie P. H., ; Duett, Edwin H..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:9:y:1998:i:1:p:29-50.

    Full description at Econpapers || Download paper

  40. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint. (1998). Garcia, René ; Genay, Ramazan.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-35.

    Full description at Econpapers || Download paper

  41. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-02.

    Full description at Econpapers || Download paper

  42. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. (1997). Lo, Andrew ; Kogan, Leonid ; Bertsimas, Dimitris.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6250.

    Full description at Econpapers || Download paper

  43. Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance. (1997). Das, Sanjiv ; Sundaram, Rangarajan K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5976.

    Full description at Econpapers || Download paper

  44. Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach. (1997). Lo, Andrew ; Bertsimas, Dimitris., .
    In: Working papers.
    RePEc:mit:sloanp:2673.

    Full description at Econpapers || Download paper

  45. Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios. (1997). Parisi, Franco.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:34:y:1997:i:101:p:27-47.

    Full description at Econpapers || Download paper

  46. An alternative valuation model for contingent claims. (1997). Chen, Zhiwu ; Bakshi Gurdip S., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:44:y:1997:i:1:p:123-165.

    Full description at Econpapers || Download paper

  47. Closing the GARCH gap: Continuous time GARCH modeling. (1996). Werker, Bas ; Drost, Feike C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:74:y:1996:i:1:p:31-57.

    Full description at Econpapers || Download paper

  48. Modeling and pricing long memory in stock market volatility. (1996). Bollerslev, Tim ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:151-184.

    Full description at Econpapers || Download paper

  49. An Alternative Model for Contingent Claims. (1995). Chen, Zhiwu ; Gurdip S. Bakshi and, .
    In: Research in Financial Economics.
    RePEc:wop:ohsrfe:9504.

    Full description at Econpapers || Download paper

  50. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-21 07:42:42 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.