Discrete time option pricing with flexible volatility estimation

DOI10.1007/S007800050011MaRDI QIDQ1584195zbMATH OpenOpenAlexFDO

Authors Christian M. Hafner, Wolfgang K. Härdle

Publication date 1 November 2000

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL http://edoc.hu-berlin.de/18452/4485

zbMATH Keywords

GARCHoption pricingvolatilityleverage effectthreshold GARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(11)

• Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
• Option pricing under threshold autoregressive models by threshold Esscher transform
• Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
• Contemporaneous asymmetry in GARCH processes
• Option valuation by using discrete singular convolution
• GARCH option pricing models with Meixner innovations
• Option pricing with discrete time jump processes
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
• GARCH option pricing: A semiparametric approach
• scientific article; zbMATH DE number 1795846 (Why is no real title available?)
• Option pricing with realistic ARCH processes

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