GARCH option pricing models with Meixner innovations (Q1710580)

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GARCH option pricing models with Meixner innovations
scientific article

    Statements

    title
    GARCH option pricing models with Meixner innovations (English)
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    publication date
    23 January 2019
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    zbMATH Keywords
    GARCH models
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    Meixner distribution
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    Esscher transform
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    option pricing
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    62P05
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    62M10
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    zbMATH DE Number
    7005223
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