A GARCH Option Pricing Model with Filtered Historical Simulation ∗

@inproceedings{BaroneAdesi2008AGO,
  title={A GARCH Option Pricing Model with Filtered Historical Simulation ∗},
  author={Giovanni Barone-Adesi},
  year={2008}
}
We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model’s flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 Index options shows… CONTINUE READING