The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
We introduce a new volatility model for option pricing that combines Markov switching with the realized generalized autoregressive conditional heteroskedasticity (GARCH) framework. This leads to a novel pricing kernel with a state‐dependent variance risk premium and a pricing formula for European options, which is derived with an analytical approximation method. We apply the Markov‐switching Realized...
We investigate the role of realized volatility in pricing VIX options by using the generalized affine realized volatility (GARV) model, and the Realized generalized autoregressive conditionally heteroscedastic (GARCH) model. We develop a closed‐form pricing formula for the (affine) GARV model. For the (nonaffine) log‐linear Realized GARCH model, we introduce a novel approximation approach to derive...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.