【摘 要】
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This paper aims to investigate the impact of volatility long memory on European option valuation.There are two cornerstones in our paper:the component GARCH model and the fractionally integrated GARCH
【机 构】
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Tsinghua University
论文部分内容阅读
This paper aims to investigate the impact of volatility long memory on European option valuation.There are two cornerstones in our paper:the component GARCH model and the fractionally integrated GARCH model.Both are designed to enhance the persistence of volatility.We put our research in the framework of non-affine structure and compare two GARCH models:the component NGARCH model developed in Christoffersen,Jacobs,Dorion,and Wang (2008) and the FINGARCH model based on Baillie,Bollerslev and Mikkelsen (1996).
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