Option Pricing with Arima-Garch Models of Underlying Asset Returns


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ARIMA-GARCH models are used in the analysis of financial series with time-varying conditional variance. A calibrated model of underlying asset returns allows computing all derivatives of the original money flow. The article describes an ARIMA-GARCH model of the underlying asset returns, the forms of ARIMA- and GARCH-components, and the corresponding stationarity conditions. A survey of the results on option pricing by ARIMA-GARCH and GARCH models of underlying asset returns is presented.

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D. Ogneva

Faculty of Computational Mathematics and Cybernetics, Moscow State University

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Email: spark.acc@gmail.com
俄罗斯联邦, Moscow

D. Golembiovskii

Faculty of Computational Mathematics and Cybernetics, Moscow State University

Email: spark.acc@gmail.com
俄罗斯联邦, Moscow

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