This paper derives an analytic approximation option formula for a spot
asset price whose conditional variance equation follows a nonlinear asymmetric GARCH
process. It provides the very simple option formula, which is just a volatility
adjustment in comparison to the Black-Scholes formula, and the volatility term
structure of spot asset prices. Also it illustrates that the most characteristic
feature for a nonlinear asymmetric GARCH model is appeared in the vega of an
European option, which is contingent on both the variance spread between the long-
run one and the current one and a reproduced parameter from the stationary property
of the conditional variance.
This methodology can be easily extended to option formula under the generalized
GARCH process.
학회소식
공지사항
[2003년 제 2차] AN ANALYTICAL APPROXIMATION OPTION FORMULA UNDER TH
작성자 : 관리자
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2003-07-12
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