A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS (Q3094327): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS |
scientific article |
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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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