Non-Gaussian GARCH option pricing models and their diffusion limits
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financebivariate diffusion limitconditional Esscher transformextended Girsanov principlenon-Gaussian GARCH models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Cites work
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 1234540 (Why is no real title available?)
- scientific article; zbMATH DE number 2243787 (Why is no real title available?)
- A Discrete Time Equivalent Martingale Measure
- A GARCH option pricing model with \(\alpha\)-stable innovations
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- ARCH models as diffusion approximations
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
- Continuous Time Approximations to GARCH and Stochastic Volatility Models
- Empirical martingale simulation for asset prices
- GARCH option pricing: A semiparametric approach
- Generalized autoregressive conditional heteroscedasticity
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- Option valuation with normal mixture GARCH models
- Reconsidering the continuous time limit of the GARCH(1,1) process
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- THE GARCH OPTION PRICING MODEL
- Volatility components, affine restrictions, and nonnormal innovations
- Weak convergence and distributional assumptions for a general class of nonliner arch models
Cited in
(16)- A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
- Variance swaps valuation under non-affine GARCH models and their diffusion limits
- Non-parametric news impact curve: a variational approach
- Option pricing under stochastic volatility models with latent volatility
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
- The continuous limit of weak GARCH
- scientific article; zbMATH DE number 5566166 (Why is no real title available?)
- An option pricing formula for the GARCH diffusion model
- Option pricing with conditional GARCH models
- A theory of non‐Gaussian option pricing
- Fifty years at the interface between financial modeling and operations research
- Quadratic hedging schemes for non-Gaussian GARCH models
- Asymptotic asset pricing and bubbles
- Learning for infinitely divisible GARCH models in option pricing
- Option Pricing Under GARCH Processes Using PDE Methods
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