Discrete Dynamics in Nature and Society

Research Article

Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis

Table 1

Parameter estimation results of different option pricing models.
 HN-GARCHEGARCH-Lévy-NIGDynamic EGARCH-Lévy-NIGEGARCH-Lévy-VGDynamic EGARCH-Lévy-VG
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
- 
 
 
 
- 
 
 
 
- 
 
--
- 
 
 
 
--- 
 
BIC
Note. Robust standard errors are reported in brackets. The row labeled reports the value, and the row labeled BIC reports the value of Bayesian Information Criterion, defined as , where is the number of parameters and obs is the number of observations.