Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)

The GJR-GARCH and EGARCH option pricing models which incorporate the Piterbarg methodology

Authors
Coenraad C.A. Labuschagne, Sven T. von Boetticher
Corresponding Author
Coenraad C.A. Labuschagne
Available Online January 2017.
DOI
https://doi.org/10.2991/icefs-17.2017.4How to use a DOI?
Keywords
Asset pricing, EGARCH, GJR-GARCH, Piterbarg model
Abstract
Knowledge of the risk-neutral distribution of the cumulative return with respect to the model used, is needed in European option pricing. Duan, Gauthier, Simonato and Sasseville (DGSS) provided an analytic approximation model for the case where an EGARCH or a GJR-GARCH specification is used to describe the asset price dynamics. The DGSS model requires the risk-neutral pricing methodology of the Black-Scholes-Merton (BSM) option pricing model. The Global Financial Crisis (GFC) exposed the shortcomings of the risk-neutral option pricing methodology. In this paper, the DGSS option pricing models are extended to incorporate the Piterbarg option pricing methodology.
Open Access
This is an open access article distributed under the CC BY-NC license.

Download article (PDF)

Proceedings
2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
Part of series
Advances in Economics, Business and Management Research
Publication Date
January 2017
ISBN
978-94-6252-311-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/icefs-17.2017.4How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Coenraad C.A. Labuschagne
AU  - Sven T. von Boetticher
PY  - 2017/01
DA  - 2017/01
TI  - The GJR-GARCH and EGARCH option pricing models which incorporate the Piterbarg methodology
BT  - 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
PB  - Atlantis Press
SP  - 24
EP  - 29
SN  - 2352-5428
UR  - https://doi.org/10.2991/icefs-17.2017.4
DO  - https://doi.org/10.2991/icefs-17.2017.4
ID  - Labuschagne2017/01
ER  -