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- W2247267378 abstract "In this paper, the GARCH (1,1) model is used for data modeling and forecasting. The GARCH (1,1) model is combined with the Mote Carlo (MC) algorithm to study European option pricing. The differences between the model data and the observed data are calculated by the GARCH-MC model. The GARCH-MC model is adjusted according to the differences to forecast the option prices. The GARCH-MC model is tested by the SGCOC and the SIC warrants. It is concluded that the variation trend of the model data and the observe data are coincident. The GARCH-MC model can be used to forecast accurately the option prices after adjusting. KEYWORD: GARCH Model; Monte Carlo Algorithm; European Option; Option Pricing" @default.
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- W2247267378 date "2015-01-01" @default.
- W2247267378 modified "2023-09-28" @default.
- W2247267378 title "Study on Warrant Application under GARCH-Mote Carlo Algorithm" @default.
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- W2247267378 doi "https://doi.org/10.2991/ssemse-15.2015.273" @default.
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