Technical Memorandum Number 734 An Empirical Comparison of GARCH Option Pricing Models

@inproceedings{Hsieh2000TechnicalMN,
  title={Technical Memorandum Number 734 An Empirical Comparison of GARCH Option Pricing Models},
  author={Kuang Chien Hsieh and Peter H. Ritchken},
  year={2000}
}
Heston and Nandi (2000) provide considerable empirical support for their GARCH option pricing model. Their model has the advantage that analytical solutions are available for pricing European options. This article takes a closer look at this model and compares its performance with the NGARCH option model of Duan (1995). We con ̄rm Heston and Nandi's… CONTINUE READING