Email this article Option Pricing with Arima-Garch Models of Underlying Asset Returns
- Authors: Ogneva D.S.1, Golembiovskii D.Y.1
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Affiliations:
- Faculty of Computational Mathematics and Cybernetics, Moscow State University
- Issue: Vol 29, No 4 (2018)
- Pages: 461-473
- Section: Article
- URL: https://journals.rcsi.science/1046-283X/article/view/247801
- DOI: https://doi.org/10.1007/s10598-018-9425-2
- ID: 247801
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Abstract
ARIMA-GARCH models are used in the analysis of financial series with time-varying conditional variance. A calibrated model of underlying asset returns allows computing all derivatives of the original money flow. The article describes an ARIMA-GARCH model of the underlying asset returns, the forms of ARIMA- and GARCH-components, and the corresponding stationarity conditions. A survey of the results on option pricing by ARIMA-GARCH and GARCH models of underlying asset returns is presented.
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About the authors
D. S. Ogneva
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Author for correspondence.
Email: spark.acc@gmail.com
Russian Federation, Moscow
D. Yu. Golembiovskii
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Email: spark.acc@gmail.com
Russian Federation, Moscow
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