Suppose that GARCH(1,1) parameters have been estimated as a = 0.000002, = 0.04, and =

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Suppose that GARCH(1,1) parameters have been estimated as a = 0.000002, α = 0.04, and β = 0.94. The current daily volatility is estimated to be 1.3%. Estimate the volatility per annum that should be used to price a 20-day option.

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Posted Date: Jul 12, 2020 05:40 AM

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Suppose that GARCH(1,1) parameters have been estimated as a = 0.000002, = 0.04, and =

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Fundamentals of Futures and Options Markets

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