Option pricing under GARCH models applied to the SET50 index of Thailand

Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we ap...

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Bibliographic Details
Main Authors: Somphorn Arunsingkarat, Renato Costa, Masnita Misran, Nattakorn Phewchean
Other Authors: Mahidol University
Format: Article
Published: 2022
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Online Access:https://repository.li.mahidol.ac.th/handle/123456789/76765
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Institution: Mahidol University