A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS (Q3094327): Difference between revisions

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Latest revision as of 14:21, 4 July 2024

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A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS
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    A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS (English)
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    24 October 2011
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    option pricing
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    risk neutral valuation
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    generalized hyperbolic GARCH
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    extended Girsanov principle
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    Esscher transform
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    mean correcting martingale measure
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    Radon-Nikodym derivative
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