LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS
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Publication:2882691
DOI10.1142/S021902491250015XzbMath1283.91179MaRDI QIDQ2882691
Publication date: 7 May 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Black-Scholes model; leverage effect; variance-gamma process; feedback effect; ad hoc Black-Scholes model; locally risk-neutral valuation relationship; normal NGARCH model; stochastic volatility VG model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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