Advertisement

Introduction: Simulating Security Returns

Chapter
  • 101 Downloads

Abstract

The basic methods and properties of filtered historical simulations are highlighted and compared to alternatives in the academic literature. Measure changes through changes in the parameters of the stochastic process are contrasted to the more commonly used changes in the distribution of residual returns.

Keywords

Option Price Asset Return GARCH Model Historical Simulation Option Price Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Audrino F., and G. Barone Adesi (2006), Average Conditional Correlations and Tree Structures for Multivariate GARCH Models, Journal of Forecasting, 25, pp. 579–600.CrossRefGoogle Scholar
  2. Barone Adesi G., K. Giannopoulos and L. Vosper (1999), VaR without Correlations for Portfolios of Derivative Securities, Journal of Futures Markets, August, pp. 583–602.Google Scholar
  3. Barone Adesi G., K. Giannopoulos and L. Vosper (2002), Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS), European Financial Management, March, pp. 31–58.Google Scholar
  4. Barone Adesi G., R. Engle and L. Mancini (2008), A GARCH Option Pricing Model with Filtered Historical Simulation, Review of Financial Studies, 21, May, pp. 1223–1258.CrossRefGoogle Scholar
  5. Black, F., and M. Scholes (1973), The Valuation of Options and Corporate Liabilities, Journal of Political Economy, 81, pp. 637–654.CrossRefGoogle Scholar
  6. Bollerslev, T., R. Y. Chou, and K. F. Kroner, 1992, ARCH Modeling in Finance: Review of the Theory and Empirical Evidence, Journal of Econometrics, 52, pp. 5–59.CrossRefGoogle Scholar
  7. Boudoukh, J., M. Richardson, and R. Whitelaw (1998), The Best of Both Worlds, RISK, May, pp. 64–67.Google Scholar
  8. Christoffersen, P., S. Heston, and K. Jacobs (2006), Option Valuation with Conditional Skewness, Journal of Econometrics, 131, pp. 253–284.CrossRefGoogle Scholar
  9. Efron, B. (1979), Bootstrap Methods: Another Look at the Jackknife, The Annals of Statistics, 7 (1), pp. 1–26.CrossRefGoogle Scholar
  10. Girsanov, I. V. (1960), On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures, Theory of Probability and Its Applications, 5, pp. 285–301.CrossRefGoogle Scholar
  11. Guégan, D., C. Chorro, and F. Ielpo (2010), Option Pricing for GARCH-Type Models with Generalized Hyperbolic Innovations, Centre d’Economie de la Sorbonne, Working Paper No. 23.Google Scholar
  12. Heston, S., and S. Nandi (2000), A Closed-Form GARCH Option Valuation Model, Review of Financial Studies, 13, pp. 585–625.CrossRefGoogle Scholar
  13. Hull, J. C. and A. White (1998), Incorporating Volatility Updating into the Historical Simulation Method for Value at Risk, Journal of Risk, 1 (1), pp. 5–19.Google Scholar

Copyright information

© Giovanni Barone Adesi 2014

Authors and Affiliations

There are no affiliations available

Personalised recommendations