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What is the GARCH model in simple terms?

Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) is a statistical model used in analyzing time-series data where the variance error is believed to be serially autocorrelated. GARCH models assume that the variance of the error term follows an autoregressive moving average process.

What are the techniques used to value options?

Models used to price options account for variables such as current market price, strike price, volatility, interest rate, and time to expiration to theoretically value an option. Some commonly used models to value options are Black-Scholes, binomial option pricing, and Monte-Carlo simulation.

What is the BSM option pricing model?

The Black-Scholes model, aka the Black-Scholes-Merton (BSM) model, is a differential equation widely used to price options contracts. The Black-Scholes model requires five input variables: the strike price of an option, the current stock price, the time to expiration, the risk-free rate, and the volatility.

What is option pricing using GARCH?

GARCH option pricing model has three distinctive features. First, the GARCH option price is a function of the risk premium embedded in the underlying asset. This contrasts with the standard preference-free option pricing result. Second, the GARCH option pricing model is n~n-Markovian.

What is the difference between Heston and Black-Scholes?

The Takeaway. The Heston model prices options using stochastic (random) volatility to more accurately model options pricing behavior. The more well-known Black-Scholes option pricing model assumes that implied volatility remains constant.

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