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dc.contributor.advisorZhang, Jin
dc.contributor.authorJiang, Yushuang
dc.identifier.citationJiang, Y. (2014). Modified GARCH Process and Variance Risk Premium (Thesis, Master of Business). University of Otago. Retrieved from
dc.description.abstractIn this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH) process by introducing a new uncertainty into the volatility process. We then change probability measures from physical to risk-neutral ones by extending Duan’s (1995) locally risk-neutral valuation relationship (LRNVR). With the information of both daily index returns and the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), we estimate daily variances and model parameters by using the maximum likelihood method. The new modified GARCH process solves the problem of variance risk premium in the GARCH option models completely.
dc.publisherUniversity of Otago
dc.rightsAll items in OUR Archive are provided for private study and research purposes and are protected by copyright with all rights reserved unless otherwise indicated.
dc.subjectGARCH option pricing models
dc.titleModified GARCH Process and Variance Risk Premium
dc.language.rfc3066en of Accountancy & Finance of Business of Otago
otago.openaccessAbstract Only
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