DOI: 10.5176/2251-2012_QQE14.08

Authors: Yun Yin


This chapter uses four different models to value the option price: Random Walk (RW), ARCH, GARCH and TARCH. Each model is applied within a Monte-Carlo framework. I attempt to identify the best model in terms of their ability to predict the market price of the option.

Keywords: euyropean option; random walk; arch; garch; tarch; monte carlo simulation


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