Università della Svizzera italiana

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...

Università della Svizzera italiana

Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models

Mancini, Loriano ; Ronchetti, Elvezio ; Trojani, Fabio

In: Journal of the American Statistical Association, 2005, vol. 100, no. 470, p. 628-641

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these results, optimal bounded-influence versions of the classical likelihood-based tests for parametric...