Forecasting options prices using discrete time volatility models estimated at mixed timescales

Option pricing models traditionally have utilized continuous-time frameworks to derive solutions or Monte Carlo schemes to price the contingent claim. Typically these models were calibrated to discrete-time data using a variety of approaches. Recent work on GARCH based option pricing models have int...

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Bibliographic Details
Main Authors: Giovanni Calice, Jing Chen, Julian Williams
Format: Default Article
Published: 2020
Subjects:
Finance
Applied Economics
Banking, Finance and Investment
Options
Volatility measures
Online Access:https://hdl.handle.net/2134/11410071.v1
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