PORTFOLIO-BASED RISK PRICING: PRICING LONG-TERM PUT OPTIONS WITH GJR-GARCH(1,1)/JUMP DIFFUSION PROCESS

Sergei Esipov and Dajiang Guo
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Sergei Esipov: Centre Solutions, a member of Zurich Financial Services Group, One Chase Manhattan Plaza, New York, NY 10005, USA
Dajiang Guo: Centre Solutions, a member of Zurich Financial Services Group, One Chase Manhattan Plaza, New York, NY 10005, USA

Chapter 13 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 312-322 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionPortfolio-Based Risk PricingParameters EstimationParameters for the GJR-GARCH(l,l)/jump-diffusion modelPricing S&P 500 Index Put OptionsOption parameters for one-year European putsFrom distributions to pricesVolatility smileComparison with historical market price of puts in 1988–1997Five-year European putsConclusionReferences

Date: 1999
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