Option pricing with non-Gaussian scaling and infinite-state switching volatility

DOI10.1016/J.JECONOM.2015.02.033zbMath1337.91085arXiv1307.6322OpenAlexW2074995140MaRDI QIDQ2347724

Marco Zamparo, Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio L. Stella

Publication date: 8 June 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.6322

zbMATH Keywords

option pricingGARCHMarkov switchinganomalous scaling

Mathematics Subject Classification ID

Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Risk preference, option pricing and portfolio hedging with proportional transaction costs ⋮ The fine-structure of volatility feedback. I: Multi-scale self-reflexivity ⋮ Econometric analysis of financial derivatives: an overview

Uses Software

• longmemo

Cites Work

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