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

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
Subjects:
Decision Sciences
Mathematics
Medicine
Online Access:https://repository.li.mahidol.ac.th/handle/123456789/76765
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Institution: Mahidol University
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