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Duan, J.C. (1999) Conditionally Fat-Tailed Distributions and the Volatility Smile in Options. Rotman School of Management, University of Toronto, Working Paper.

has been cited by the following article:

• TITLE: Dynamic Option Pricing Model Based on the Realized-GARCH-NIG Approach

  AUTHORS: Honglei Zhang, Yixiang Tian, Gaoxun Zhang

  KEYWORDS: Option Pricing Model, Realized GARCH Model, High Frequency Data, NIG Distribution

  JOURNAL NAME: Open Journal of Social Sciences, Vol.4 No.3, March 15, 2016

  ABSTRACT: In this paper, we take the advantage of high frequency data to develop option pricing model and select the Realized GARCH model to describe the volatility of assets, use NIG distribution to describe the distribution of underlying assets, and also build the Realized-GARCH-NIG model to price the option. Finally, we obtain the dynamic option pricing model based on the Realized-GARCH-NIG approach. To verify the effect of the dynamic option pricing model based on the Realized-GARCH- NIG approach, this paper provides the empirical analysis between the dynamic option pricing model based on the Realized-GARCH-NIG approach and the B-S option pricing model. The results show that the option value obtained from the dynamic option pricing model based on the Realized-GARCH-NIG approach is more accurate and effective than the B-S option pricing model.