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

GARCHleverage effectoption pricingthreshold GARCHvolatility

Mathematics Subject Classification ID

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

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Cited in

(12)

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

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