Range-Based EGARCH Option Pricing Models (REGARCH)
Jonathan
The research in this post and the related paper on Range Based EGARCH Option pricing Models is focused on the innovative range-based volatility models introduced in Alizadeh, Brandt, and Diebold (2002) (hereafter ABD). We develop new option pricing models using multi-factor diffusion approximations couched within this theoretical framework and examine their properties in comparison with … Continue reading "Range-Based EGARCH Option Pricing Models (REGARCH)" The post Range-Based EGARCH Option Pr