Option Pricing with Arima-Garch Models of Underlying Asset Returns
- 作者: Ogneva D.S.1, Golembiovskii D.Y.1
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隶属关系:
- Faculty of Computational Mathematics and Cybernetics, Moscow State University
- 期: 卷 29, 编号 4 (2018)
- 页面: 461-473
- 栏目: Article
- URL: https://ogarev-online.ru/1046-283X/article/view/247801
- DOI: https://doi.org/10.1007/s10598-018-9425-2
- ID: 247801
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详细
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.
作者简介
D. Ogneva
Faculty of Computational Mathematics and Cybernetics, Moscow State University
编辑信件的主要联系方式.
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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