Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand

Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand

Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we a...

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Bibliographic Details
Main Authors: Arunsingkarat, Somphorn, Costa, Renato, Misiran, Masnita, Phewchean, Nattakorn
Format: Article
Language:English
Published: WSEAS. Unifying Science and Engineering 2021
Subjects:
QA Mathematics
Online Access:https://repo.uum.edu.my/id/eprint/30894/1/WTM%2020%202021%20112-121.pdf
https://doi.org/10.37394/23206.2021.20.12

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