Simulating S&P500 Index Options Based on GARCH estimators - Wang, Yizhe;Adkins, Roger;Sharma, Abhijit
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The current book presents a range of popularly used GARCH models for the use of S&P500 option valuation. Our illustration adopts a practical yet non ones' own numerical method, making it ideal for readers who are new to the option price valuation. Demonstrating how the option valuation can be improved by accommodating the time variation of underlying price volatility and Monte Carlo simulation, our methodology has a 'parsimonious' perspective, placing the practical merit in the option pricing procedure.

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Produktbeschreibung
The current book presents a range of popularly used GARCH models for the use of S&P500 option valuation. Our illustration adopts a practical yet non ones' own numerical method, making it ideal for readers who are new to the option price valuation. Demonstrating how the option valuation can be improved by accommodating the time variation of underlying price volatility and Monte Carlo simulation, our methodology has a 'parsimonious' perspective, placing the practical merit in the option pricing procedure.
Autorenporträt
Wang, Yizhe
Yizhe Wang is a Doctor of Finance from University of Bradford. He received his undergraduate degree from the Canvard institute of Beijing technology and business university in 2007. He received his Master and PhD degrees from the university of Bradford school of management in 2010 and 2018.