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Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations
Christophe Chorro / Dominique Guegan / Florian Ielpo
derivatives / garchResource overview

Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations

Paper2012

by Christophe Chorro, Dominique Guegan, Florian Ielpo

Tags
derivativesgarchmonte carlo simulationoption pricingstochastic processes

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Understand this paper

Suggested foundations for options and derivatives pricing and volatility models and surfaces. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  4. ARCH and GARCH

    Separate conditional volatility from observed returns.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  3. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance Explore Advanced Derivatives and Exotic Options

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