GARCH Option Valuation: Theory and Evidence
Bibliographic record
Abstract
We survey the theory and empirical evidence on generalized autoregressive conditional heteroskedasticity (GARCH) option valuation models. We provide an overview of different functional forms for the volatility dynamic, multifactor models, non-normal innovation distributions, and valuation techniques. We also discuss alternative pricing kernels used for risk neutralization, various strategies for empirical implementation, and the links between GARCH and stochastic volatility models. In the appendices, we provide Matlab computer code for option pricing via Monte Carlo simulation for nonaffine models as well as via Fourier inversion for affine models.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.008 | 0.052 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.002 | 0.001 |
| Bibliometrics | 0.004 | 0.006 |
| Science and technology studies | 0.001 | 0.004 |
| Scholarly communication | 0.005 | 0.009 |
| Open science | 0.003 | 0.002 |
| Research integrity | 0.003 | 0.004 |
| Insufficient payload (model declined to judge) | 0.010 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".