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Simulating S&P500 Index Options Based on GARCH estimators

By Yizhe Wang

Simulating S&P500 Index Options Based on GARCH estimators

By Yizhe Wang

0 - Default Title
Description
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.
Product details
Binding:
Paperback
Number of Pages:
56
Release Date:
2025-10-17
Publication Date:
2025-10-17
Publisher:
LAP LAMBERT Academic Publishing
Languages:
Original: English
ISBN10:
6200673683
ISBN13:
9786200673688
Weight:
102 g
Height:
150 cm
Width:
220 cm
Thickness:
4 cm
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