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A GARCH option pricing model with filtered historical simulation

Barone-Adesi, Giovanni ; Engle, Robert F. ; Mancini, Loriano

In: The review of financial studies, 2008, vol. 21, no. 3, p. 1223-1258

We propose a new method for pricing options based on GARCH models with filtered historical innovaions. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model’s flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 Index options shows that our model outperforms other...

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An empirical study of crude oil market

Roth, Yana ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO004.

In this thesis I have tried to identify the risks and opportunities crude oil market offers. For this purpose I tested the performance of univariate and multivariate GARCH models. The first part of the work describes univariate GARCH models and their application to commodities markets. Physical ownership of the commodity carries an associated flow of services. The net flow of these services per...

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